<t>Thank you all for given your views. Although one part of my concern on big data seems to grab more attention, the second part which is how/what market data management means in Investment Bank didn't catch people attention right. Could anyone tell me what market data management team are doing in I...

<t>I would like to have people views and career advice on market data management position. I know that market data management might be interesting in High Frequency trading industry, but I don?t know how people in derivatives or quantitative finance industry see those types of positions. How do you ...

<t>My problem is mainly on rate curve and volatility market data. How to prove to someone that the data is observable (with a written report)? For example, for USD Yield curves data points, it?s obvious to say that the market data is observable. But if the currency is emerging currency like HUF or I...

<t>I would like to have your views on how to measure the ?observability? of market data.As per some accounting rules financial instruments are classified in 3 levels (1, 2, 3), mainly depending on the fact that the market data used for the valuation of the instruments is observable. So I would like ...

Yes I agree but as I said the basis spread is not quoted in the market( not available in bloomberg).

Yes, I agree if the swap is non deliverable we can value it in this way.But I want to value the deal as pure cross currency swap( the emerging currency is also a settlement curency).

<t>I searched in the forum any information regarding the valuation of cross currency swap in emerging currency. Suppose that we want to value a Swap USD vs PHP(Philipine peso), or USD vs BRL(Brazilian Real), or USD vs INR(Indian Rupee).With which curve should I discount the PHP (or BRL, INR) flows? ...

<t>I think people take into account the basis spread risk, by building the 6M USD curve as spread curve using the 3M/6M basis spread on top of the 3M USD curve. I think this is not bad for vanilla swap.But my concerns are about structure deals, where we have embedded option. In this case we need to ...

Ok, Thanks I will check the paper and implement it.

<t>Hi, I want to build a credit curve for an entity who don't have CDS data, but there are some bonds quoted in Bloomberg.what is the procedure to build the credit curve in this case, please If someone have a paper on this stuff, plesase send it to me.I'm a newbie in credit, so sorry for this kind o...

<t>I will try to be clear. For a Swaption(nY, mY) where n is the expiry of the option an m is the length(maturity ) of the underlying swap.I have 3 cases: Case1: n <=10 and m<=10. I think these swaption are liquid.Case2: n<=10 and m=(15, 20, 25, 30) I think they are not so liquid.Case 3: n >= 15 I t...

<t>Yes "time to maturity" is the expiry of the option.So swaption with the maturity of the option >= to 15 years are not frequent.I think this is the case also for the underlying swap although the maturity of the option is <= 15Y. I'm right?If yes, then for a swaption(mY, sY), I think the swaption i...

Since there is no answer to my question I wil l try to ask a new one.I just want to know if ATM swaption with time to maturity bigger than 15 years are liquid.

I'm working on a long calibration on Swaption. And I want know more about the liquidity of the quoted swaption in Bloomberg.Bloomberg quote all couple(Tn,Tm) for ATM Swaption, I want to get more information about their liquidity.Thank.

<t>The pricing of range Accrual is usually done with Monte Carlo method.You have to simulate your reference rates ( in your case CMS10Y and CMS2Y) at each observation dates.You can done this directly by simulating the CMS10Y and CMS2Y rate or compute them from a simulation of libor rate for example....