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by ronm
January 10th, 2016, 6:22 am
Forum: Student Forum
Topic: Crude Oil
Replies: 1
Views: 1891

Crude Oil

Hi, when I looked into the Crude oil quotes at CME, I see some quoted are displayed as 41.30A. For example, the Last price of Jan 17. Could somebody help me to understand what does it mean for "A" suffixed with the numerical quote? Thanks,
by ronm
November 18th, 2015, 5:18 pm
Forum: Student Forum
Topic: What is this Product for?
Replies: 1
Views: 2015

What is this Product for?

Hi,Have anyone of you come across a product called "Hybrid Triple Basket Timer"? What is the risk profile? Why traders trade this product.I made a quick search in Google, however could not find anything meaningful.Appreciate your pointer.Thanks,
by ronm
April 18th, 2015, 3:25 pm
Forum: Student Forum
Topic: Forward swap rate
Replies: 3
Views: 2816

Forward swap rate

<t>Hi bearish,Thanks for your pointer. However can you please elaborate more on the 2nd approach i.e. price of an at-the-money-forward swaption and back out implied volatilities from the standard Bachelier and Black models.Can you please refer any workout (like any document/materials on internet) on...
by ronm
April 18th, 2015, 2:55 pm
Forum: Student Forum
Topic: Forward swap rate
Replies: 3
Views: 2816

Forward swap rate

<t>Let say F is Forward Swap Rate and Sigma is its Volatility. I have come across an approximate formula likeSigma-Normal ~ F * Sigma-Log-NormalCan expert here help me to understand this formula, what is the underlying Model (i.e. Data generation process) ? What does this approximate formula mean.Re...
by ronm
March 4th, 2015, 3:09 pm
Forum: Student Forum
Topic: Tenor and Maturity
Replies: 4
Views: 3919

Tenor and Maturity

Any feedback please?
by ronm
March 3rd, 2015, 3:48 pm
Forum: Student Forum
Topic: Tenor and Maturity
Replies: 4
Views: 3919

Tenor and Maturity

Hi again, from Bond's vega risk perspective, what is the difference between Tenor and Maturity? Are there any real difference or these 2 terms are used interchangeably? Appreciate your valued pointer.Thanks
by ronm
October 13th, 2014, 10:17 am
Forum: Student Forum
Topic: Calendar option
Replies: 5
Views: 3282

Calendar option

100 views not even a single reply. Can experts here help me out please?
by ronm
October 8th, 2014, 4:46 am
Forum: Student Forum
Topic: Calendar option
Replies: 5
Views: 3282

Calendar option

<r>Hi again,I am struggling to understand a Calendar option traded in ICE. For example say, the contract is Rotterdam Coal Cal 1x Options in ICE. In the specification tab, it is said that:A calendar year option on the associated Rotterdam Coal Futures Contract(ATC). The single expiry option will exp...
by ronm
September 7th, 2014, 3:39 pm
Forum: Student Forum
Topic: Corporate bond forward yield
Replies: 1
Views: 3377

Corporate bond forward yield

Hi,I need to get the data on 1 year, 2 years, and 3 years forward 5 year yield rate for AA rated corporate bond. Can somebody give some light where from I can get that? Does Bloomberg have any option?Thanks for your pointer
by ronm
June 22nd, 2014, 12:14 pm
Forum: Student Forum
Topic: Crude oil
Replies: 2
Views: 3958

Crude oil

Hi,Can you give me some sources of data related to the Inventory level of crude oil, some time series on it's demand etc. I need to those information to modeling Crude oil. Monthly frequency is okay to me.Really appreciate your help.Thanks
by ronm
May 28th, 2014, 9:06 am
Forum: Student Forum
Topic: Credit-line
Replies: 0
Views: 4179

Credit-line

<t>Hi,I am confused how the Credit-line is linked to the PFE calculation?Let say I am to calculate the PFE for some counterparty. My company has allocated Credit-line for this as 5mn. Is it that, if the PFE at any time in future crosses 5mn then I should not append any trade with this counterparty?T...
by ronm
May 23rd, 2014, 8:15 am
Forum: Student Forum
Topic: Implied Correlation
Replies: 7
Views: 5005

Implied Correlation

QuoteAs the stock moves up/down, the expected lifetime of the call will shorten / lengthen -but not the putCould you please elaborate this further?Thanks
by ronm
May 10th, 2014, 12:57 pm
Forum: Student Forum
Topic: Option Vega
Replies: 2
Views: 4659

Option Vega

I would really appreciate if someone can throw some light.Please let me know if I need rephrase further.Thanks
by ronm
May 7th, 2014, 8:01 pm
Forum: Student Forum
Topic: Option Vega
Replies: 2
Views: 4659

Option Vega

Hi all,Let say I have a portfolio of various option contracts, American as well as European. My question is, what does it mean to the term 'Beta adjusted Vega'? What is the definition of it? How can I calculate it? Any pointer is highly appreciated.Thanks for your help
by ronm
April 22nd, 2014, 6:50 pm
Forum: Student Forum
Topic: Credit risk
Replies: 0
Views: 4546

Credit risk

Let say I am to measure 1 year Credit risk of a 5-year Interest rate swap contract.In this context, what is difference between Expected exposure and average exposure?Any idea?
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