<t>Discount curves are driven by funding assumptions on book/portfolio level, e.g. currency of collateral, collateral type etc. Xccy basis swap pricing is one example where domestic discount curve is constructed out of foreign funding discount curve and domestic & foreign projection curves for f...

<t>China?s Attack on the U.S. DollarAny ideas on AUD vs majors given recent AUD/CNY onshore trading agreement rumors? For example, BRL/CNY bilateral trade settlement resulted in massive appreciation spurs of BRL against USD, while new taxation was imposed to contain it within reasonable bounds. AUD ...

<t>QuoteOriginally posted by: purbaniJPMorgan Board Says Dimon Should Remain as C.E.O. and Chairman JPMorgan Chase's board said on Friday that it was standing behind Jamie Dimon, the bank's chairman and chief executive...I have had feeling that all that overly detailed public report must lead somewh...

What's the difference between different forms of prop units: none, same risk taking. What's the difference between risk taking and proprietary invesments: none. What's in it for market making when there is client value management as top priority: who knows.

Macro hedging is a good idea anytime. But risk taking is not always so

I'd put Python into the list above: nice scripting and database hook-up, scientific libraries, good experience to put onto resume anyway.

Nice try anyway, why not take it to a next level: riskies, flies? The story or EURJPY seems somewhat similar to EURBRL few years ago.Disclaimer: not an advice to buy or sell stuff, but just an observation.

<t>PCA could be viewed as P&L volatility reduction tool for any hedging strategy as long as its inherent assumptions do not violate no-arbitrage conditions. From that perspective it becomes a quite useful tool for optimal hedging of linear rates portfolio. Some firms seem to be actively applying...

<t>One should ask a question: why bother to define an OIS (onshore) rate in non-deliverable currency markets? Surely, no one expects to collaterise their offshore trades using onshore cash or bonds. Same passes for offshore instruments. BRL and possibly CNY are the only exceptions to this as there i...

<t>In fact, the issue of negative rates for CHF and SGD (and possibly USD) has been an intensive discussion topic lately. Any good way to avoid Black lognormal vol marking with SABR in such instances? Or should we use normal pricer (a.k.a. Bachelier) instead? Or a mix, e.g. shifted SABR? Any consequ...

<t>Non-callable range accrual is a collection of digitals, so need to use vanilla replication here, specifically vol skew/smile. Callable RAs are therefore sensitive to forward vol skew/smile, so choose your model appropriately -- local & stoch vol mixture + jumps is best suited model at the mom...

The IPCA market is quite thinly traded, but you could try following onshore USD curve construction from FRCs.

<t>A comprehensive survey of basket option pricing is in this Wilmott article: "An Analysis of Pricing Methods for Baskets Options" by M. Krekel et al. Asian options can be reduced to basket options, and vol skew via displaced diffusion (i.e. shifted lognormal) can be easily added to some of the met...

<t>What is programming pattern in math finance? There is None. There are some (well-written) books trying to convince otherwise, but I am not -- there are at least as many patterns as there are IBs around. Quants/developers are working in their own rhythm split among the latest vibes on the street a...

<t>The fact is that risk-neutral (i.e. traditional sell side) models are not used to predict the market moves or to confirm your current view. They are the interpolators, in a large sense of it. View them as black boxes (sorry for over-used terminology) with many inputs and single output of instrume...