<t>I enter into two offsetting derivatives with an uncollateralised counterparty whereby derivative 1 effectively has the cash flows of a zero coupon bond ie cash out at inception and cash in at maturity and derivative 2 is the mirror opposite. If the derivatives aren't nettable then technically I s...

Thanks Rmax

<t>Over the past few months I have been observing a wide range in broker GBP swaptions quotes. One thing I notice is that the brokers have different currencies specified in the CSA agreements we have with them, and I am investigating whether this could be resulting in a pricing adjustment. For examp...

<t>Over the past few months I have been observing a wide range in broker GBP swaptions quotes. One thing I notice is that the brokers have different currencies specified in the CSA agreements we have with them, and I am investigating whether this could be resulting in a pricing adjustment. For examp...

<t>I understand the effect of recovery rate assumptions on the valuation of off-market CDS trades, and thus the requirement for assumed recovery rates as the market convention moves toward upfront points and fixed coupon trading (i.e. effectively an off-market CDS and cash up front) and clearing.How...

<t>Our firm thinking of starting coal deskNeed to decide on limits / reserves etcDoes anyone know average daily traded volume (in MT) of API2/API4/Newcastle? What is a typical bid/offer spread size (say out to Cal12)?What is typical quote depth? i.e. would you move the market if you bought 100K MT o...

<t>Debate at our firm regarding the number of futures to use when constructing libor discount curve.One argument, which we have abided by historically, is to use the most liquid instrument at each maturity range along the curve i.e. for USD cash short end, short futures out to ~4yrs, swaps beyond.An...

<t>We currently discount using Libor curve, on the basis that this is where we can fund at.I have positions, including non-USD denominated positions, covered under CSA which are collateralised daily in USD with interest calculated based on Fed Funds.How should I be discounting? I understand market p...

Thanks. This teasingly looks like it will be useful. Just need a crash refresher course in stats.

<t>Let's assume I have two time series, with given number of degrees of freedom, of independent normal random variables.Is it possible to generate is a 3-D graph showing:x = sample correlation, r, between -1 and 1y = actual correlation, p, between -1 and 1z= probability of sample correlation being x...

<t>Assuming the same reference obligation, should cds par rates quoted in different currencies be equal?I can imagine there may be some sort of small basis adjustment but wouldn't expect a large difference. Also, where a company has debt issued in different ccys, I presume you can't default on your ...

So isn't there an opportunity if I can buy cheap options priced at intrinsic?Can I either arb with someone who is pricing these including time value? Or just earn profits over time delta hedging the free long gamma position?Thanks

Are there any idiosyncracies I need to be aware of in risk managing a start up emissions trading desk?Anticipate trading spot, forwards, futures, swaps a- all physically settled. Any advice appreciated.Jon

<t>What is market standard for valuing the option component of convertible asset swap package i.e. effectively american call option to buy CB at par less cancellation value of hedging swap paying CB coupon receiving libor plus spread?There are complex correlated stock, default and IR processes invol...

<t>what with the current liquidity squeeze we are seeing traded short tenor swap/forwards trading at lower rates that those implied from different maturity cash deposit ratesfor example, the current 1m tenor jpy libor 6m swap is quoted at 73bps (each 1m forward is pretty flat at the current 1m cash ...