<t>QuoteOriginally posted by: smithyprice of the contract will tighten closer to the current rate interest rate ... if the fed rate stays the same 0-0.25% ... That "if" is the crux of the pricing. The price reflects (or should under normal market/liquidity conditions) the markets expectations of 3m ...

<t>QuoteOriginally posted by: adamj1001Hi everyone,Is the Mark-to-market higher when a counterparty pays a fixed rate or when a counterparty pays floating?Think of it like bonds. Receiving fixed is like owning a bond (receiving fixed cash flows) and financing it 3m at a time. Paying fixed is the opp...

<r>QuoteOriginally posted by: marciovsIt does look right, one question though: why does the hedge need to be this 'package' of 1 basis swap and 2 single currency swaps? Why not just a x-ccy (fixed/fixed) ?x-ccy basis swaps more liquid out past a year: <URL url="http://www.bis.org/publ/qtrpdf/r_qt080...

He's got a blog to read through his ideas and style:http://epchan.blogspot.com/

<t>Sorry I can't read your output above.To step back a bit, when I look at this stuff, I mostly look at yield differentials so suppose a basic 10yr bond yield % over 7yr bond yield%.So, let's say you have a simple regression says that yield spread between the two is too high and the beta is 0.6647. ...

An excellent book indeed. I've flipped through it and appears very much worth the money. Definitely an asset if you are in fixed-income research (as well as a key to understanding everything behind the research).

<t>Yes, it does. Basically Part II, chapters 5 through 16 revolve around excel sheets and libraries. That includes binomial lattice of discount bonds, fra, swaps, swaptions as well as trinomial lattice for H-W and B-K. It's all in the table of contents. Full disclosure that I studied under one of th...

<r>Clewlow and Strickland also have some good examples related to interest rate derivatives. <AMAZON id="0471966517" url="http://www.amazon.com/Implementing-Derivative-Models-Financial-Engineering/dp/0471966517"><URL url="http://www.amazon.com/Implementing-Derivative-Models-Financial-Engineering/dp/...

Yep, that's the one. Personally, I don't know others which go over things in the same style. I'd be glad to hear of others that do. Haug goes over lots of code too, so that may be a good bet too.

<t>Grabbed from a google search for *adjusted r-square*. This should help you out.R_Square (the Coefficient of Determination) is the percent of the Total Sum of Squares that is explained; i.e., Regression Sum of Squares (explained deviation) divided by Total Sum of Squares (total deviation). This ca...

<t>QuoteOriginally posted by: CuchulainnI like the approach taken by Clewlow and Strickland in their books. They do the A->Z trajectory so you can see all the steps, from model to output based on (pseudo)code.I agree. There's nothing worse than a textbook that ends on a subject, "...and this variabl...

<t>I'm guessing by repo spread you are talking about the specialness of a repo. ie, right now in the Canadian market, the overnight rate (continuously compounding rate) is 4.25. However, for the 10-year bond that is cheapest-to-deliver, the repo rate is like 4.10, making the repo spread -0.15. Thoug...

I've used alibris.com and abebooks.com with decent success the over the past two years.

Very good, insightful response cpulman, thank you.

<r>QuoteOriginally posted by: meteorQuoteOriginally posted by: jfuquaThat is going pretty far back to claim Peter Carr for Canada ! You don't know how far I can go...umm, father of them all ... Myron Scholes, from Hamilton, Ontario: undergrad from Mac. Of course he left Canada and hasn't really look...