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by Jericho
October 14th, 2023, 11:03 am
Forum: General Forum
Topic: Repo Accrual Accounting + Pull 2 Par
Replies: 1
Views: 2889

Repo Accrual Accounting + Pull 2 Par

I have a question on EUROZONE Bonds and in particular repo accrual and bond accrual. On a Thursday if we are Short EUROZONE bonds (which have a T+2 settlement lag) in a portfolio (and assuming no move in yields), there is an exaggeration in pull 2 par and hence the P&L on a Thursday will be a lo...
by Jericho
February 26th, 2023, 3:21 pm
Forum: General Forum
Topic: When Issued Bonds (Pre-Auction Pricing)
Replies: 2
Views: 3878

When Issued Bonds (Pre-Auction Pricing)

Hi All, Has anyone ever come across When - Issued Bonds (those securities which are traded pre-auction and only trade on a yield).  If so, how would they be PRICED, pre-auction? Once the auction is set and the coupon is set, then the pricing becomes straight forward, but how about pre-auction - we o...
by Jericho
January 20th, 2023, 4:52 pm
Forum: General Forum
Topic: Valuation fwd volatility agreement (FVA)
Replies: 1
Views: 3694

Valuation fwd volatility agreement (FVA)

Hello All, I really need some help on this one - we have a USDJPY FVA on our portfolio (3y5y), however our PM states that it is being massively undervalued by the 3rd party admins and by the internal system - he states that the arithmetic fwd fwd vol is undervaluing the trade because, in this case, ...
by Jericho
December 6th, 2022, 1:38 pm
Forum: General Forum
Topic: Marking bonds to futures basis
Replies: 0
Views: 6878

Marking bonds to futures basis

Hi  We have a relative value strategy on the desk and they would like to mark the Bonds to the futures basis but Im not clear what this means - are there any examples which anyone could share?  Futures are marked to exchange and the Bonds to Reuters (Traders arent happy with Reuters pricing) and wan...
by Jericho
November 27th, 2022, 6:02 pm
Forum: General Forum
Topic: Pricing a Dual Digital OPtion
Replies: 0
Views: 7109

Pricing a Dual Digital OPtion

HI All

Struggling to find a formula or an approximation on how to value these 

If I have 2 One Month ATM implied vols, say for EURGBP and GBPUSD and I know the Cross Vol and Implied Correlation too between the majors, can I now deduce a price or an approximation price?

Thanks in Advance
J.
by Jericho
August 18th, 2022, 3:48 pm
Forum: General Forum
Topic: Deep ITM and OTM options
Replies: 6
Views: 3587

Re: Deep ITM and OTM options

Hey just wanted to touch on this again - How could one test if a Bid/Ask spread is "bad" - by "bad" I mean: Either the Bid or Ask is zero a Fat fingered Bid or Ask (which means the spread is huge) The Bid is higher than the Ask IS there a formulaic I could use or is it simply a c...
by Jericho
August 7th, 2022, 6:52 pm
Forum: General Forum
Topic: Dual hybrid option
Replies: 3
Views: 2413

Re: Dual hybrid option

Thank you Bearish always good to learn from you. Just want to clarify a couple things, how did you calculate the 10-15 % range for the s&p through the put spread. And then you are multiplying this by 50% so as to imply a price of 5% to 7.5%?
by Jericho
August 7th, 2022, 8:25 am
Forum: General Forum
Topic: Dual hybrid option
Replies: 3
Views: 2413

Dual hybrid option

Hi i want to price a dual hybrid option where I receive a payout in 1M if S&P < 3900 and 2yr SOFR IS more than 3.5% at expiry. Rather than go into bbg and price this up is there a more intuitive way to price this or think about this or approximate this? Can i decompose into its constituent parts...
by Jericho
June 21st, 2022, 5:40 pm
Forum: General Forum
Topic: Holiday P&L
Replies: 3
Views: 3762

Holiday P&L

Hi All, If Im working at a Global Hedge fund, where our PMs trade all markets (Europe, LATAM, US, Asia) etc..., what are your thoughts on reporting the P&L when there is a holiday in the US or in the UK for example? In other words, should we report P&L/Risk when it is a UK holiday?  For a Un...
by Jericho
June 5th, 2022, 1:05 pm
Forum: General Forum
Topic: Adjusted Sharpe Ratio
Replies: 9
Views: 3615

Re: Adjusted Sharpe Ratio

Thanks Alan - Ive had a read of this.  Final question I have is given what I need to do (Calculate a sharpe ratio for a given month with 22 observations), Do you see any problems with me (i) Calculating a sharpe but using the Semi variance measure as the denominator of the sharpe as per your paper a...
by Jericho
June 2nd, 2022, 10:25 am
Forum: General Forum
Topic: Adjusted Sharpe Ratio
Replies: 9
Views: 3615

Re: Adjusted Sharpe Ratio

Thanks v much, Ill have a read of that paper, looks like the link you have shared is a summary, but the semi variance is definitely interesting.
by Jericho
June 1st, 2022, 8:01 am
Forum: General Forum
Topic: Adjusted Sharpe Ratio
Replies: 9
Views: 3615

Re: Adjusted Sharpe Ratio

Thanks for your answers and suggestions - I was only using n = 6 as an illustration. In reality, what my organisation is doing is every month calculating a sharpe ratio by taking the 22 observations (business days) in any given month, taking the average of those returns and then dividing my the stan...
by Jericho
May 29th, 2022, 7:22 pm
Forum: General Forum
Topic: Adjusted Sharpe Ratio
Replies: 9
Views: 3615

Adjusted Sharpe Ratio

Hi Guys  Have a question on Sharpe ratio and specifically Adjusted Sharpe Ratio.  Basically my company is calculating the sharpe ratio for individual traders as follows: Assume 6 days for the current period (for simplicity in this example) where the trader makes the following Dollar PL: 100k, -60k, ...
by Jericho
May 5th, 2022, 8:30 pm
Forum: General Forum
Topic: Bond PnL
Replies: 5
Views: 3088

Re: Bond PnL

Thank you for all your contributions its great to get all your thoughts and experiences on various topics i really appreciate it
by Jericho
May 4th, 2022, 3:57 pm
Forum: General Forum
Topic: Bond PnL
Replies: 5
Views: 3088

Re: Bond PnL

Thanks Bearish - appreciate the comment - just trying to think of the mechanics of how this would work.  If we have a 10M Bond which shows a price of 100 and was traded at 99, if we use T+0 convention (and ignore FX and Carry) then my PL is simply 10M x (100 - 99) / 100 If we introduce the settlemen...
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