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by TheBridge
October 23rd, 2012, 2:12 pm
Forum: General Forum
Topic: Anyone knows names of commercial derivative pricing packages
Replies: 12
Views: 12776

Anyone knows names of commercial derivative pricing packages

Hi,I also know those companies which provide products/solutions in the same spirit as Numerix (sometimes with open access to the source code, sometimes dedicated to more specific problems and instruments) :-Ito33 -Pricing Partners -Zeliade Systems Best regards
by TheBridge
September 12th, 2012, 9:10 am
Forum: General Forum
Topic: Reference and Accounting standards methods for CVA over Swaps products
Replies: 0
Views: 10667

Reference and Accounting standards methods for CVA over Swaps products

<t>Hi,I am interested in the benchmarks models used for CVA calculations (used for accounting reports) for plain vanilla swaps products (uncollateralized). On the simplest side (IMO) you have the classical Hull White model with deterministic intensity which is fitted from CDS quotes coupled with a s...
by TheBridge
September 10th, 2012, 1:42 pm
Forum: General Forum
Topic: LMM with OIS Discounting
Replies: 2
Views: 12435

LMM with OIS Discounting

<t>Hi,Even if it is not "stricto sensu" an OIS LMM you can check the Moreni and Palavicini paper herehttp://arxiv.org/abs/1011.0828I find it particularly satisfying from a theoretical point of view, moreover there is no collateral argument needed with it or default like argument to explain the basis...
by TheBridge
July 4th, 2012, 6:50 am
Forum: General Forum
Topic: Libor manipulation
Replies: 49
Views: 17089

Libor manipulation

<t>Hi,Why not substituing libor rate fixing procedure by the fixing of short maturities OIS swap rates (like the procedure for CMS fixing rates)?You might say that you lose the average credit worthiness of Libor Panel banks but IMO this hasn't much value when you look at all those manipulations prob...
by TheBridge
February 14th, 2012, 1:29 pm
Forum: Technical Forum
Topic: OIS Basis Swaps - EONIA v Fed Funds
Replies: 15
Views: 24299

OIS Basis Swaps - EONIA v Fed Funds

<t>Hi, following my question, here are setups that could be consistent with the insightful answer of kpyr, First setup (USD as collateral at FedFund Rate) :-First construct Fed Fund curve (as in the old days) or FF Curve by using Fed Fund Swap quotes,-Second construct LibUSD3M "Adjusted" Forward cur...
by TheBridge
February 14th, 2012, 8:09 am
Forum: Technical Forum
Topic: OIS Basis Swaps - EONIA v Fed Funds
Replies: 15
Views: 24299

OIS Basis Swaps - EONIA v Fed Funds

Hi kypr,Thank's for your answer Best regards
by TheBridge
February 13th, 2012, 4:09 pm
Forum: Technical Forum
Topic: OIS Basis Swaps - EONIA v Fed Funds
Replies: 15
Views: 24299

OIS Basis Swaps - EONIA v Fed Funds

<t>Hi,I have a related question about (daily) collateralized cross currency swap (let's say EURIB3Months vs LIBUSD3Months). Does the currency in which the collateral cashflows are exchanged has an impact over the valuation of such a swap (supposing moreover that this collateral currency is either US...
by TheBridge
January 18th, 2012, 10:05 am
Forum: Technical Forum
Topic: Risk Management collateralized of "relative" repo deals
Replies: 2
Views: 15150

Risk Management collateralized of "relative" repo deals

Hi bearsih,Thank's for sharing your views about those kind of deals.Regards
by TheBridge
January 16th, 2012, 8:30 am
Forum: Technical Forum
Topic: Risk Management collateralized of "relative" repo deals
Replies: 2
Views: 15150

Risk Management collateralized of "relative" repo deals

<t>Hi,Is there any known reference article for the risk managment of what I would call (probably improperly) relative repos deals, where one exchange during a given period a bond a with high credit rating and high liquidity against a bond much less liquid and with lower credit rating (but still inve...
by TheBridge
January 6th, 2012, 2:00 pm
Forum: General Forum
Topic: Bootstrap Libor Curve under multi-curve framework
Replies: 4
Views: 19224

Bootstrap Libor Curve under multi-curve framework

Hi,You are right OIS curve has to be bootstrapped first and it is this curve that has to be used for discounting when bootstrapping the Libor curve regards
by TheBridge
September 30th, 2011, 12:34 pm
Forum: General Forum
Topic: problem with EUR basis swap pricing
Replies: 10
Views: 21394

problem with EUR basis swap pricing

@ frattyquant : Thank's for the info about BBG dual curve methodology implementation I will check it asap Best Regards
by TheBridge
September 28th, 2011, 6:18 am
Forum: General Forum
Topic: problem with EUR basis swap pricing
Replies: 10
Views: 21394

problem with EUR basis swap pricing

Try OIS as Discounting curve, this should do (mostly) the trick, even if not completely fine as SWPM this is not implementing (to my knowledge) true full multicurve bootstrapping methodology Regards
by TheBridge
September 15th, 2011, 10:22 am
Forum: General Forum
Topic: UBS Rogue Trader Again
Replies: 70
Views: 26749

UBS Rogue Trader Again

No offense Dave'cause 2 yards it's not enough for a french man
by TheBridge
August 26th, 2011, 6:53 am
Forum: Technical Forum
Topic: Zero Coupon Inflation Swaps
Replies: 2
Views: 20522

Zero Coupon Inflation Swaps

Hi,What do you mean exactly by "inflation risk premium" ? I'm affraid the terminology is not widely spread or at least not known to me Regards
by TheBridge
March 23rd, 2011, 6:23 am
Forum: Technical Forum
Topic: model risk
Replies: 10
Views: 23021

model risk

Concerning "model risk" there are one or two interesting papers by Rama Cont (check his web page).Regards
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