Randor, just wondering what your numerical results were like?

<r><URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2014762http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2127661Hi"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... =2127661Hi">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2014762http://papers.ssrn.com/sol3/papers.c...

*bump*

<t>Hi, ive calculated 6m rolling regressions for the 1y1y sabr beta (log ATM vol vs log rates). As we can see the beta can sometimes deviate lower than 0 (normal) and higher than 1 (lognormal). Does this indicate relative value opportunities in the skew, and what trades can I execute to take advanta...

<t>Hi, I was wondering whether there is any literature on business cycle drivers of interest rate option volatility. For instance, many people view the PMI new orders-inventory ratio as a leading business cycle indicator for US Treasuries. Is there something similar for interest rate option vols (in...

<t>Hi, I was wondering whether there is any literature on business cycle drivers of interest rate option volatility. For instance, many people view the PMI new orders-inventory ratio as a leading business cycle indicator for US Treasuries. Is there something similar for interest rate option vols (in...

<t>Hi, I was wondering whether there is any literature on business cycle drivers of interest rate option volatility. For instance, many people view the PMI new orders-inventory ratio as a leading business cycle indicator for US Treasuries. Is there something similar for interest rate option vols (in...

<t>I've worked in model validation quant team...sure it's less prestigious than the front office and you get paid very average. On the other hand you can have a life outside of work and not have to take risk 24/7.Yes, I'm a pricer maker for govenment bonds in a retail bank, which is essentially punt...

<t>I've been working on a govie bond desk for a couple of yrs, and would like to move into something more quantitative and research orientated (more so for interest and aptitude) such as quant development or in fixed income research. Before this I did an internship in model validation, and it was qu...

Hi, are there any references on computing bucketed swap rolldown on a portfolio level (so i can compare against delta buckets)? This appears to be a 2-dimensional problem as we are rolling down the discount curve instruments (eg cross-currency basis swaps) as well as the forwards curve, etc.

<t>When we price a swap, we usually assume we know the first rate fixing for curve bootstrapping, eg USD swaps rate set is done 2 business days before the accrual start date and the swap starts T+2. If the swap is T+1 starting with the first fixing set at T+1, how does one get the first rate fixing ...

<t>When we price a swap, we usually assume we know the first rate fixing for curve bootstrapping, eg USD swaps rate set is done 2 business days before the accrual start date and the swap starts T+2. If the swap is T+1 starting with the first fixing set at T+1, how does one get the first rate fixing ...

<t>for pnl attribution, you can break up say 1-day pnl of a trade into delta PnL + theta PnL + higher order terms by 1st order taylor expansion.Assuming constant vol and rho, I think of the delta PnL as the PnL attributed to changes in underlying market prices (partial derivatives with respect to as...

<t>Just want to confirm something: Say i enter a 3Y Korean swap and duration hedge this with 3Y bond futures. As the swap rolls down, I adjust the futures hedge to exactly delta hedge the swap. The main sources of PnL i earn from this trade is therefore:1) swap carry + rolldown2) basis risk PnL beca...

Hi everyone. Was wondering if there were any published papers on pricing a balance guaranteed swap on MBS? I want to compare existing results with some of my own.Do you think it's worth publishing something on this product?