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by pimpel
February 12th, 2018, 9:34 pm
Forum: Programming and Software Forum
Topic: Figures latest LaTeX, TexShop so small
Replies: 14
Views: 2272

Re: Figures latest LaTeX, TexShop so small

Correct me if I am wrong, but I always thought ps (or eps) is a vector graphic, while jpg is just a compressed bitmap. Then if jpg is not produced in very high resolution, it will not be possible to have clear picture in the final text if resized, whlie eps or pdf should perfectly resize without any...
by pimpel
February 12th, 2018, 9:27 pm
Forum: Technical Forum
Topic: VaR for cross currency swaps
Replies: 4
Views: 1239

Re: VaR for cross currency swaps

As Rmax said - take today's market, prepare as much scenarios based on historical changes in the market, calculate changes in fair value and get the required percentile. The real question is how do you calculate historical scenarios. Which type of changes do you apply on rates, spreads and fx. Absol...
by pimpel
January 19th, 2017, 10:31 pm
Forum: General Forum
Topic: Credit sensitivity on floating rate bond
Replies: 1
Views: 524

Re: Credit sensitivity on floating rate bond

Typically the forward coupons you determine from a different curve than the discounting one, so simply shift the discounting curve and that should do the job. If you have only one risk free discounting curve, and then shift the asset swap spread on top of it and leave the basis spread for floating c...
by pimpel
December 9th, 2016, 8:41 am
Forum: General Forum
Topic: Credit curves for illiquid bonds
Replies: 13
Views: 1903

Re: Credit curves for illiquid bonds

Girr risk.not sure if it was in Basel dokument.for sure it is in European Commission draft CRR amendment.
by pimpel
December 8th, 2016, 9:06 pm
Forum: General Forum
Topic: Credit curves for illiquid bonds
Replies: 13
Views: 1903

Re: Credit curves for illiquid bonds

Regarding the funding spread, you may find evidence for such add-on in recent FRTB standardized method for market risk capital requirement, where the regulator requires to hold capital based on bond's sensitivity if the bond is denominated in foreign currency. If the regulator see the problem of the...
by pimpel
November 6th, 2016, 10:04 pm
Forum: General Forum
Topic: Credit curves for illiquid bonds
Replies: 13
Views: 1903

Re: Credit curves for illiquid bonds

it is for risk management purposes, mainly corporate bonds issued in domestic currency (GCC /currency pegged to USD) . when priced off interbank curve, the price  does not reflect the illiquid nature of the underlying credit. My take on this is to start with the US treasury curve as base curve and ...
by pimpel
December 15th, 2015, 9:48 am
Forum: General Forum
Topic: Zero Coupon IRS
Replies: 8
Views: 4492

Zero Coupon IRS

<t>QuoteOriginally posted by: DocTocgoing back to this..Lets keep things simple and assume that my forwarding curve is the same as my discounting curve (so pre-OIS-iBOR basis setup).EDIT: my definition of a ZC swap is where the fixed leg is compounded up and paid at maturity and likewise with the ff...
by pimpel
December 5th, 2015, 9:00 pm
Forum: Book And Research Paper Forum
Topic: Recomended books on Interest Rate Modelling
Replies: 14
Views: 6499

Recomended books on Interest Rate Modelling

<t>Mark's book is very good, but may be quite difficult for a start. Have a look at Richard Flavel's book swaps and other derivatives. At some points it may miss current multicurve setup, but gives good introduction to various areas of IR topics. Then get back to Mark's book.Kenyon's book is good as...
by pimpel
December 5th, 2015, 8:40 pm
Forum: General Forum
Topic: Zero Coupon IRS
Replies: 8
Views: 4492

Zero Coupon IRS

<t>I have no solution, but what I always saw with long dated zerocoupon bonds, was that they were impossible to be priced with simple discounting using the issuer's curve. It was due to long dated exposure on a single rate. I think it is also observable on US Treasuries and STRIPS, where value of pr...
by pimpel
June 1st, 2015, 2:25 pm
Forum: General Forum
Topic: Vanilla FX Options using BS, VV, LSV
Replies: 9
Views: 4373

Vanilla FX Options using BS, VV, LSV

<t>As you see from results, your vegas are model dependent. Since you want to compare different models with BS price, let's take the BS vega. If you divide your price difference by your BS vega, you get information that in order to have a BS price equal to your VV price you would have to change your...
by pimpel
June 1st, 2015, 1:42 pm
Forum: General Forum
Topic: Vanilla FX Options using BS, VV, LSV
Replies: 9
Views: 4373

Vanilla FX Options using BS, VV, LSV

<r>Regarding hedging your fx option book, you should always have a consistent model for all positions. It is pointless to calculate delta from BS for European vanillas, and from LSV for barriers, because you will compare pears with apples, as both models have different assumptions. You could refer t...
by pimpel
May 21st, 2015, 7:45 am
Forum: Technical Forum
Topic: Good reference for RWA, SLA and capital charges
Replies: 5
Views: 5439

Good reference for RWA, SLA and capital charges

<r>I would start with Green, Andrew David and Kenyon, Chris and Dennis, Chris R, KVA: Capital Valuation Adjustment (October 23, 2014). Risk, December 2014. Available at SSRN: <URL url="http://ssrn.com/abstract=2400324">http://ssrn.com/abstract=2400324</URL> or <URL url="http://dx.doi.org/10.2139/ssr...
by pimpel
May 21st, 2015, 7:44 am
Forum: General Forum
Topic: Vanilla FX Options using BS, VV, LSV
Replies: 9
Views: 4373

Vanilla FX Options using BS, VV, LSV

<t>Comparing prices is meaningless. Calculate vega of each price with one of the models, and then divide difference in price by the vega. That should give you information what would be a difference in implied vol from the resulting prices, so you will have information how much those models differ in...
by pimpel
April 22nd, 2015, 6:41 am
Forum: Technical Forum
Topic: How to Price a Swap with a floating start date
Replies: 2
Views: 3252

How to Price a Swap with a floating start date

<t>Basically your position is similar to a bermudan swaption. As I understand, the client is not intending to arbitrage the level, as he wants to have a possibility to enter into swap when he draws the money on a loan, but from your perspective it is still the position in forward swap, where you do ...
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