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by choewl
June 10th, 2009, 1:44 pm
Forum: Technical Forum
Topic: Curve build-up for cross currency swap
Replies: 0
Views: 39113

Curve build-up for cross currency swap

<t>Hi there,Would like to find out from the market: what is the standard curve build-up for CCS? In usual case, a spread or currency basis (positive or negative) is added to the less liquid IRS rates to reflect the foreign exchange risk and country risk. We can obtain the basis swap in the market st...
by choewl
November 28th, 2008, 6:29 am
Forum: Technical Forum
Topic: VaR calculation on Basis Risk
Replies: 1
Views: 47630

VaR calculation on Basis Risk

I have a portfolio of shares which does not track index. The portfolio manager decides to buy index futures to offset the risk of this portfolio. When calculate VaR, should we allow this index futures to net off the exposure the shares? If yes, how do we capture the Basis Risk? Thanks
by choewl
October 16th, 2008, 9:41 am
Forum: Technical Forum
Topic: Valuing Commodity Swap
Replies: 6
Views: 55807

Valuing Commodity Swap

<t>Thank you for the sharing and so sorry for the long delay...Let me illustrate the case again in more detail using different example: Say this is a 3-month fix-float Crude Palm Oil ("CPO") swap, settled on each month (ignore the sign for the moment):Value Date: 14/10/08Start Date: 25/09/08Expiry D...
by choewl
October 15th, 2008, 12:24 pm
Forum: Technical Forum
Topic: Commodity Option on Futures - deriving the formula
Replies: 18
Views: 53427

Commodity Option on Futures - deriving the formula

<t>Greeting,I need to really get this to my headOption on Futures valuation can be with a discount factor and without. When do you use with a discount factor:-- for contracts where the premium is exchanged upfront - in which case there is a cost of carry. When do you use without a discount factor:--...
by choewl
September 23rd, 2008, 5:12 am
Forum: Technical Forum
Topic: Commodity Option on Futures - deriving the formula
Replies: 18
Views: 53427

Commodity Option on Futures - deriving the formula

As you mentioned in the 2nd point, if it is daily mark-to-market ("mtm") the cost of carry is practically zero. Would like to confirm with you this is refering to mtm of the "option on futures" or mtm of the "underlying futures" on daily basis?
by choewl
September 23rd, 2008, 5:12 am
Forum: Technical Forum
Topic: Commodity Option on Futures - deriving the formula
Replies: 18
Views: 53427

Commodity Option on Futures - deriving the formula

As you mentioned in the 2nd point, if it is daily mark-to-market ("mtm") the cost of carry is practically zero. Would like to confirm with you this is refering to mtm of the "option on futures" or mtm of the "underlying futures" on daily basis?
by choewl
September 23rd, 2008, 5:10 am
Forum: Technical Forum
Topic: Commodity Option on Futures - deriving the formula
Replies: 18
Views: 53427

Commodity Option on Futures - deriving the formula

As you mentioned in the 2nd point, if it is daily mark-to-market ("mtm") the cost of carry is practically zero. Would like to confirm with you this is refering to mtm of the "option on futures" or mtm of the "underlying futures" on daily basis?
by choewl
September 11th, 2008, 2:51 am
Forum: Technical Forum
Topic: Valuing Commodity Swap
Replies: 6
Views: 55807

Valuing Commodity Swap

<t>I was trying to validate a model used to price commodity swap but the proposed valuation methodology was different from what I saw from the text book. Assume the Bank wants to enter into a 3-month crude oil swap that settled on each month. Say we want to value the swap position after the inceptio...
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