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,
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,
<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...
<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...
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
<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...
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
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
<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...
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
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
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?