<t>QuoteOriginally posted by: bonronI am new to the Swaptions world and therefore my question may sound too simplistic/stupid.In trading swaptions, what kind of limits do firms usually impose on traders?Typically, there some limits are imposed on Notional, Signed Notional, NPV, PV01 and Delta01 for ...

<t>QuoteOriginally posted by: seanmokCan I please ask what the below quote means for bermudan swaption? what does +1 mean?20nc5+1 50/581 is the call frequency after the initial non call periodSo above you have got 20y non call 5 and callable every year thenafter50/58 are not the strikes (well they a...

Lately, in absence of callable/volbond issuance/sov supply, the source of vol has also been unwinds of previously short positions where the clients are profit taking in their now in the money receivers...that is in EUR

Totally agree with Martinghoul here...an average fund manager does know much about most of what he does Products which involve selling vol for yield enhancement (callable swaps/range accruals) have been an integral part of vol market in FI forever

Any thoughts?

<t>Hi,Does anyone here have thoughts on when to prefer a fwd vol trade (buying longer expiry spot swaption vs selling a mid curve) over doing a vol triangle for ex if when would you prefer [buying 10y5y vs selling 5y5y5y midcurve] over [buying 10y5y + 5y5y - 5y10y]To me both trades should look attra...

Dikiss got it right.Long delta -> long bond -> long market -> profit if rates drop.

<t>phoenixOmega,for an ATMF it is correct to assume that x bp norm implied vol means you can expect x bp of vol over the life of an option.But when looking at skew...it tells you the implied vol of Fwd+200 when ATMF = Fwd (local vol...d(vol)/d(moneyness))...when the ATMF becomes equal to Fwd + 200.....

It hardly matters...unless you've messed up your previous interviews so much that they've put you on their blacklists!Otherwise, everybody understands that skill set are different from team to team and not everyone who fits X will fit Y!

Are there any other resources like some blogs/links/portals apart from WSJ and ofcourse Wilmott where one can subscribe and keep himself updated with recent ongoings? Like Bloomberg magazine serves good stories every month....Any more links to share?