I'm trying to calculate a PC1 equivalent of a DV01 move and am getting a bit confused by the interpretation of the eigenvectors. The output of the first two eigenvectors are, Tenor      PC2          PC1 1Y         -0.15028     0.05154 2Y         -0.32138     0.13310 3Y         -0.41856     0.20852 5...

<t>Back in May 2013, Bill Gross famously prognosticated that the three decade long bull market in bonds was over. Perhaps his comments were mis-timed, with UST 10Y yields going from 160bps back to 300bps and now back down again to 160bps. However, I think his comments now apply perfectly to Europe, ...

<t>QuoteOriginally posted by: bazzat@DavidJNMy point is that credit risk is taken care of in a separate charge and is not necessarily a cause for a difference in par rates of collaterlised and uncollateralised swaps. If we exclude CVA, what is the difference between collaterlised and uncollateralise...

<t>Hello,I came across a problem in the new Ian McEwan that I can't quite figure out. It's basically a modification of the Monty Hall problem, this is the actual scenario from the book: A man is in a hotel standing in front of three doors, and he knows his wife is with her lover behind one of them. ...

Tak.

Hello,Apols if this has been repated earlier, but I was wondering what the mod duration of a zero coupon bond will be? If the duration is 5 and yield is 10%, would the mod duration be 4.5?Thx.

<t>Despite all the talk and research into this topic, I feel that it's a bit of a tempest in a teapot as far as unfunded trades are concerned.For a wildly off-market trade that has 5 years to maturity (300bps ATM vs 100bps coupon), the DV01/CS01 ratio is approximately 0.05. So for a OIS XCCY basis o...

<t>Three questions:1. I understand that there are a few different measures of bond spread - Z-Spread, asset swap spread, implied CDS spread, etc. If I'm looking at the historical basis between a bond price and it's maturity-matched spread, what's the correct measure to consider? Also, does the quali...

Thanks for all the replies. What exactly is a syndicated loan?

In terms of cashflows and in terms of pricing?Thank you.

Yes. Don't do it.

<t>Hello,I see a quote that says '5s/10s - 60/65', what exactly does this mean? Does it mean that:- One will buy protection on the 10Y CDS and sell protection on the 5Y CDS and *pay* 65bps?- One will sell protection on the 10Y CDS and buy protection on the 5Y CDS and *receive* 60bps?Have I interpret...

<t>I have three question that I was hoping that someone could take a stab at.1. I read somewhere that accommodative monetary policy (in other words, quantitative easing) does not automatically result in higher inflation. For higher inflation to occur, the output gap must be crossed. i.e. idle factor...

Sheepish grin! Thank you for pointing out my errant ways.

<t>Hi there,I have a question about CDS market making. Let's say the market maker has a quote of 98/100 where he buys protection at 98bps and sell at 100bps. Someone comes along and buys protection on 100MM from him at 100bps (i.e. the market maker is selling protection).What does the market maker d...