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by Randor
August 14th, 2019, 2:19 pm
Forum: Trading Forum
Topic: for bond futures on the CME , does the CME show the CTD
Replies: 2
Views: 2107

for bond futures on the CME , does the CME show the CTD

for bond futures on the CME , does the CME show the CTD bond ?
i think other exchanges do give it, but i dont see it on CME
by Randor
November 29th, 2018, 11:29 am
Forum: Technical Forum
Topic: Solving XCCY basis spread by using IR-FX parity
Replies: 3
Views: 517

Re: Solving XCCY basis spread by using IR-FX parity

looks good to me :)
most currencies aside from some majors do not have quotes on the 3m xccy basis
so for them, bbg may be implying them from the fx market as per your formula

also note that the implied xccy basis spread will depend on your collateralisation 
by Randor
July 6th, 2018, 12:27 pm
Forum: General Forum
Topic: tenor basis swap spreads and compounding
Replies: 3
Views: 591

Re: tenor basis swap spreads and compounding

if you got an answer let me know please :)
by Randor
March 30th, 2018, 7:24 am
Forum: General Forum
Topic: libor. ois. usd vs australia
Replies: 6
Views: 700

Re: libor. ois. usd vs australia

its a bit weird that the CP market (non collateralised short term corporate bills) would be fine, but LIBOR not - its as if its easier for a corporate to fund itself than for banks!  are banks so heavily regulated now that that is the case?   Would be very interesting to see the CP rates to see how ...
by Randor
March 27th, 2018, 6:02 pm
Forum: General Forum
Topic: libor. ois. usd vs australia
Replies: 6
Views: 700

Re: libor. ois. usd vs australia

are you saying banks and CP have same credit quality?
is there a CP index that one can compare with LIBOR?
by Randor
March 23rd, 2018, 3:02 pm
Forum: General Forum
Topic: libor. ois. usd vs australia
Replies: 6
Views: 700

libor. ois. usd vs australia

in australia the bank bills market is alive and well and so the ibor swap market has a sound basis. whereas in usa , libor i think ive heard is really become pretty meaningless as 3m noncollateralised interbank deposits do not trade any more also the fed funds market , ie the ois rate, is apparently...
by Randor
February 12th, 2018, 1:02 pm
Forum: Student Forum
Topic: Ftd 1st to default: assumption of all names having same risk
Replies: 7
Views: 959

Re: Ftd 1st to default: assumption of all names having same risk

many thanks bearish and gbelford, i will look into this!
by Randor
February 9th, 2018, 9:33 am
Forum: Student Forum
Topic: Ftd 1st to default: assumption of all names having same risk
Replies: 7
Views: 959

Re: Ftd 1st to default: assumption of all names having same risk

so for my case, can you show me a simple way to do it?  
i have implemented the hull method, so i just want to adjust that
by Randor
February 8th, 2018, 7:55 am
Forum: Student Forum
Topic: Ftd 1st to default: assumption of all names having same risk
Replies: 7
Views: 959

Re: Ftd 1st to default: assumption of all names having same risk

so what is a more appropriate model?  i guess there may be a way to do a simple adjustment to do my case of FTD out of 2 names.   i think there should be a way to do a copula to get the joint distrubtion for survival time, given the 2 marginal distributions and their correlation, what is the algorit...
by Randor
February 7th, 2018, 5:04 pm
Forum: Student Forum
Topic: Ftd 1st to default: assumption of all names having same risk
Replies: 7
Views: 959

Ftd 1st to default: assumption of all names having same risk

I read in hull that in the standard model for ftd, all names are assumed to have the same credit risk.

I am valuing a ftd where basket is just 2 names. So i am thinking that assumption is going to be very bad if the 2 names have very different cds...?
by Randor
December 27th, 2017, 8:16 am
Forum: General Forum
Topic: cleared FRA settlement: in advance or in arrears?
Replies: 2
Views: 584

cleared FRA settlement: in advance or in arrears?

basic q, please confirm! for FRAs that are cleared , i guess that they must be settled in arrears? (eg for a 1x4 FRA, in contrast to the old world where it would have been setteled in 1 month and the payout was (F-K)*0.25/(1+F*0.25)  ,  i suppose for cleared the payout would be in 4 months of (F-K)*...
by Randor
February 24th, 2016, 8:42 am
Forum: Student Forum
Topic: Daycount basis of broker quotes of cms swaps
Replies: 7
Views: 2142

Daycount basis of broker quotes of cms swaps

hi pcaspers,what about USD and CHF - both legs act/360 there too?and GBP both legs act/365 ?
by Randor
February 16th, 2016, 1:36 pm
Forum: Student Forum
Topic: Daycount basis of broker quotes of cms swaps
Replies: 7
Views: 2142

Daycount basis of broker quotes of cms swaps

anyone trade cms swaps?
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