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by RiskUser
December 27th, 2020, 11:09 am
Forum: Trading Forum
Topic: LIBOR transition
Replies: 6
Views: 10097

Re: LIBOR transition

Some of you probably know, the FSB has recently issued a road map for LIBOR transition (October 16): https://www.fsb.org/wp-content/uploads/P161020-1.pdf Obviously this is after many months if not a few years of consultations. But is the industry really ready for it? Doing research now on existing ...
by RiskUser
October 7th, 2019, 7:57 am
Forum: Student Forum
Topic: SOFR discounting
Replies: 3
Views: 14725

Re: SOFR discounting

LCH are moving to SOFR discounting in 2020:

https://www.risk.net/derivatives/686856 ... ing-switch
by RiskUser
October 7th, 2019, 7:55 am
Forum: General Forum
Topic: LIBOR Replacement Secured vs Unsecured
Replies: 3
Views: 5843

Re: LIBOR Replacement Secured vs Unsecured

Focusing solely on derivatives contracts, ISDA have published the outcome of their consultation for 'IBOR fallbacks. At a highlevel, we are a looking at: 1) Compounded in arrears risk-free rates (e.g. SONIA for GBP and SOFR for USD) 2) Most likely a backward shift in the observation period (I'm gues...
by RiskUser
May 10th, 2018, 7:51 am
Forum: Student Forum
Topic: Benchmark Fallbacks Spread Calculation and Term Fixing
Replies: 1
Views: 5244

Benchmark Fallbacks Spread Calculation and Term Fixing

Any thoughts on the links below? Interested to hear Quant thoughts on what is being proposed, are we heading back to a single curve methodology?

March 8th
March 1st
February 15th
by RiskUser
April 12th, 2018, 8:42 am
Forum: General Forum
Topic: Initial margin models - closeout costs ?
Replies: 2
Views: 1074

Re: Initial margin models - closeout costs ?

Separate to IM (VaR or ES) a CCP will charge a liquidity margin multiplier for close out costs.
Generally anything that is considered to be RNIV will be capture by some sort of multiplier / add-on.
by RiskUser
February 21st, 2018, 11:33 am
Forum: General Forum
Topic: Is it over?
Replies: 101
Views: 89054

Re: Is it over?

To the OP a different perspective.....yes, bilateral margin rules, regulatory capital and a push to clearing will result in a simplification of products across the board.
by RiskUser
February 21st, 2018, 11:28 am
Forum: General Forum
Topic: cleared FRA settlement: in advance or in arrears?
Replies: 2
Views: 1263

Re: cleared FRA settlement: in advance or in arrears?

Cumulative VM accrued over the life of the trade up to expiry and paid daily (same as any deal). On expiry cumulative VM is reversed and a settlement instruction is made (net effect is that there is little / no cashflow move - there is a subtle nuisance around discounted PV up to the irrevocable com...
by RiskUser
January 30th, 2018, 10:47 am
Forum: Student Forum
Topic: Paced Transition Plan, discuss....
Replies: 5
Views: 6769

Re: Paced Transition Plan, discuss....

 Bump
Recently had an interesting conversation where it was proposed that it is possible to have 2 price alignment rates but only 1 discount curve as all USD cashflows must be discounted using a common curve.
I always thought there was a 1-2-1 link between PAI and the discount curve.
Any thoughts?
by RiskUser
October 30th, 2017, 5:29 pm
Forum: Student Forum
Topic: Paced Transition Plan, discuss....
Replies: 5
Views: 6769

Paced Transition Plan, discuss....

Hi All, Interested to hear your views on step 4 of the Paced Transition Plan ( link ) - specifically, "Users may choose PAI basis: EFFR or New Rate". Does this imply more than one discount curve for USD products depending on what is chosen? Would this also imply different forward rates dep...
by RiskUser
May 23rd, 2016, 8:52 am
Forum: General Forum
Topic: Creating a "Normal Swaption Volatility Cube" using multiple data sources
Replies: 1
Views: 1302

Creating a "Normal Swaption Volatility Cube" using multiple data sources

<t>Hi Forum,I am looking to build a "blended" Swaption Volatility Cube derived from prices observed from multiple data sources i.e. source A provides a term structure of Forward Swap rates and Premia / Normal Vols for differing strikes and tails, source B provides a "different" term structure of For...
by RiskUser
April 20th, 2016, 1:20 pm
Forum: General Forum
Topic: ISDA Standardised Initial Margin Model - Discuss?
Replies: 2
Views: 3066

ISDA Standardised Initial Margin Model - Discuss?

With bilateral margining rules kicking in, I for one am eager to hear the forums constructive views on this model.
by RiskUser
February 19th, 2016, 2:37 pm
Forum: Technical Forum
Topic: FRCPI (Excluding Tobacco) Index Base year Shift
Replies: 9
Views: 3021

FRCPI (Excluding Tobacco) Index Base year Shift

<t>Here you go:DocThe appendix seems to follow the "Dec/Dec" approach - but remember when rebasing the derivative you need to go to 10dp per ISDA 2008 (assuming you are trading under those terms). The historically rebased values published in the "usual" sources will be to 2dp, hence not the same as ...
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