- September 17th, 2018, 9:48 pm
- Forum: General Forum
- Topic: Cost of Carry options on futures CME on Margin account
- Replies:
**5** - Views:
**428**

What is the bid/ask of the call? What is the bid/ask of the put? What is the bid/ask of the future?

- April 19th, 2018, 5:21 pm
- Forum: General Forum
- Topic: Normal Distribution Option Model
- Replies:
**14** - Views:
**1193**

Try:

https://www.math.nyu.edu/~iwasawa/normal.pdf

To make things simpler, I would replace (1/sqrt(2*PI)) * exp(-(d1^2/2)) with N'(d1)

where N' is the PDF of the standard normal distribution.

https://www.math.nyu.edu/~iwasawa/normal.pdf

To make things simpler, I would replace (1/sqrt(2*PI)) * exp(-(d1^2/2)) with N'(d1)

where N' is the PDF of the standard normal distribution.

- April 19th, 2018, 4:35 pm
- Forum: General Forum
- Topic: volatility and options payoff..a doubt
- Replies:
**5** - Views:
**493**

In a non-mathy way: OptionValue = FwdValue + VolValue If you "freeze" all parameters except vol: If Vol goes up, then VolValue goes up ==> if you freeze FwdValue, then OptionValue ALWAYS goes up If Vol goes dn, then VolValue goes dn ==> if you freeze FwdValue, then OptionValue ALWAYS goes dn It's ...

- March 19th, 2018, 3:02 pm
- Forum: General Forum
- Topic: Normal Distribution Option Model
- Replies:
**14** - Views:
**1193**

Maybe it would help if you think of Put-Call Parity as:

(F-K) = (C-P)*exp^(rt)

This way when you add things like dividend yields, or foreign/domestic interest rates, it would still work because it would be embedded in the F

(F-K) = (C-P)*exp^(rt)

This way when you add things like dividend yields, or foreign/domestic interest rates, it would still work because it would be embedded in the F

- November 27th, 2017, 3:59 pm
- Forum: Trading Forum
- Topic: Risky Corporate Bond Settlement Scenario
- Replies:
**5** - Views:
**648**

So I include the possibility of the event occurring between trade and settle? When adjusting the dirty price to settle price for a risky corporate bond, should I simply use risk free discounting? If I adjust the survivals, I am conditioning on the event not occurring before settle date. So, my ...

- November 22nd, 2017, 7:47 pm
- Forum: Trading Forum
- Topic: Risky Corporate Bond Settlement Scenario
- Replies:
**5** - Views:
**648**

The settlement days convention for US Corporate Bonds is T+3. So there are 2 dates: t_value t_settle ( This is 3 business days after t_value ) Let's say you buy a corporate bond on t_value and the company defaults on day T+2, what happens in general? Same as normal? Also, what about thin...

- November 9th, 2017, 9:01 pm
- Forum: General Forum
- Topic: Kalman filters to estimate the phase and amplitude of sine wave?
- Replies:
**6** - Views:
**756**

Looking for the first term in a Fourier series?

- May 30th, 2017, 12:44 pm
- Forum: General Forum
- Topic: Pricing Options on Fixed Income ETFs
- Replies:
**13** - Views:
**1605**

Well, as far as HYG goes, I think the default risk deserves more attention. Now, if you are talking about options on TLT, ir risk becomes more important.

- May 11th, 2017, 4:13 pm
- Forum: General Forum
- Topic: Risk-free rate curve
- Replies:
**7** - Views:
**1130**

Which OIS are you talking about?

- May 4th, 2017, 5:58 pm
- Forum: General Forum
- Topic: Difference between OAS and CMM for TBA
- Replies:
**7** - Views:
**806**

TBAs are instruments in the market. The set of coupons for a given collateral type (FN30, FN15, FH30, FH15, GN30, GN15, etc.) is called the coupon stack. The first two maturities are usually the liquid points. The CMM rate is a rate that is implied by a basket of TBAs. Usually, "bracketing coupo...

- May 4th, 2017, 5:39 pm
- Forum: General Forum
- Topic: Bond futures variation margin
- Replies:
**3** - Views:
**682**

Isn't it simply NumContracts * ContractMultiplier * ( Price(t) - Price(t-1) ). Not sure why you need the conversion factor. Think of it in terms of the nominal bond if you want (cf=1.0).

- April 4th, 2017, 5:18 pm
- Forum: General Forum
- Topic: Why is SABR so popular in the rates world?
- Replies:
**19** - Views:
**1849**

"While intrinsic SABR greeks aren't very useful for hedging purposes"

What are intrinsic SABR greeks? Are the Bartlett corrections for Delta not useful?

What are intrinsic SABR greeks? Are the Bartlett corrections for Delta not useful?

- March 2nd, 2017, 3:24 pm
- Forum: General Forum
- Topic: Receiver Swaption / Yield Curve Steepening
- Replies:
**3** - Views:
**669**

For simplicity, think of the curve in 2 pieces ShortEnd, LongEnd. A steepener can occur if ShortEnd stays the same and the LongEnd goes up. It can also occur if the ShortEnd goes down and LongEnd stays the same. These cases will have different effects on your swaption. Obviously, in the real w...

- February 23rd, 2017, 4:56 pm
- Forum: General Forum
- Topic: Building a swaption implied volatility surface from ATM quotes only using SABR model.
- Replies:
**8** - Views:
**1022**

How would determine the "bendy-ness" of the smile if you only have one point (ATM) ?

- April 29th, 2015, 2:18 pm
- Forum: General Forum
- Topic: Options on Forwards
- Replies:
**3** - Views:
**3196**

<t>V = e^(-rt) * [F*N(d1) - K*N(d2)]F can be a few thingsNo Divs:F = S * exp(r*t)Yield Divs (or can be interpreted as FX rates):F = S * exp( (r-q) * t )DiscreteDivs:F = S * exp( r*t) - sum(FV(discreteDiv))where FV is forward value of each div to the Fwd expiration dateAlso, you can incorporate borro...

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