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by riskneutralprob
January 8th, 2019, 2:00 pm
Forum: General Forum
Topic: Fixing offset in AUD swaps
Replies: 7
Views: 287

Re: Fixing offset in AUD swaps

I looked again on bloomberg and in the description of the AUD 5Y Swap, it actually says the Fixing Lag on the Float Leg is 2 business days.  Sorry I tried to post the screenshot but it failed to post.
by riskneutralprob
January 8th, 2019, 1:57 pm
Forum: General Forum
Topic: Fixing offset in AUD swaps
Replies: 7
Views: 287

Re: Fixing offset in AUD swaps

[img]file://.d:/temp/audswap5y_2fltleg.gif[/img][img]file:///d:/temp/audswap5y_1.gif[/img]
by riskneutralprob
January 7th, 2019, 7:49 pm
Forum: General Forum
Topic: Fixing offset in AUD swaps
Replies: 7
Views: 287

Re: Fixing offset in AUD swaps

I think it used to be a 1 day rate fixing lag when the reference rate was LIBOR.  I think they switched to BBSW with a 0 day rate fixing lag.
by riskneutralprob
September 17th, 2018, 9:48 pm
Forum: General Forum
Topic: Cost of Carry options on futures CME on Margin account
Replies: 5
Views: 516

Re: Cost of Carry options on futures CME on Margin account

What is the bid/ask of the call?  What is the bid/ask of the put?  What is the bid/ask of the future?
by riskneutralprob
April 19th, 2018, 5:21 pm
Forum: General Forum
Topic: Normal Distribution Option Model
Replies: 14
Views: 1291

Re: Normal Distribution Option Model

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.
by riskneutralprob
April 19th, 2018, 4:35 pm
Forum: General Forum
Topic: volatility and options payoff..a doubt
Replies: 5
Views: 555

Re: volatility and options payoff..a doubt

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 ...
by riskneutralprob
March 19th, 2018, 3:02 pm
Forum: General Forum
Topic: Normal Distribution Option Model
Replies: 14
Views: 1291

Re: Normal Distribution Option Model

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
by riskneutralprob
November 27th, 2017, 3:59 pm
Forum: Trading Forum
Topic: Risky Corporate Bond Settlement Scenario
Replies: 5
Views: 679

Re: Risky Corporate Bond Settlement Scenario

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 ...
by riskneutralprob
November 22nd, 2017, 7:47 pm
Forum: Trading Forum
Topic: Risky Corporate Bond Settlement Scenario
Replies: 5
Views: 679

Risky Corporate Bond Settlement Scenario

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...
by riskneutralprob
November 9th, 2017, 9:01 pm
Forum: General Forum
Topic: Kalman filters to estimate the phase and amplitude of sine wave?
Replies: 6
Views: 798

Re: Kalman filters to estimate the phase and amplitude of sine wave?

Looking for the first term in a Fourier series?
by riskneutralprob
May 30th, 2017, 12:44 pm
Forum: General Forum
Topic: Pricing Options on Fixed Income ETFs
Replies: 13
Views: 1660

Re: Pricing Options on Fixed Income ETFs

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.
by riskneutralprob
May 11th, 2017, 4:13 pm
Forum: General Forum
Topic: Risk-free rate curve
Replies: 7
Views: 1164

Re: Risk-free rate curve

Which OIS are you talking about?
by riskneutralprob
May 4th, 2017, 5:58 pm
Forum: General Forum
Topic: Difference between OAS and CMM for TBA
Replies: 7
Views: 832

Re: Difference between OAS and CMM for TBA

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...
by riskneutralprob
May 4th, 2017, 5:39 pm
Forum: General Forum
Topic: Bond futures variation margin
Replies: 3
Views: 714

Re: Bond futures variation margin

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).
by riskneutralprob
April 4th, 2017, 5:18 pm
Forum: General Forum
Topic: Why is SABR so popular in the rates world?
Replies: 19
Views: 1933

Re: Why is SABR so popular in the rates world?

"While intrinsic SABR greeks aren't very useful for hedging purposes" 
What are intrinsic SABR greeks?   Are the Bartlett corrections for Delta not useful?
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