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by woolcotm
April 23rd, 2008, 1:53 pm
Forum: Trading Forum
Topic: Using code from your old firm
Replies: 36
Views: 61610

Using code from your old firm

Surely this depends on your previous contract. Were you a developer? If not, then you were not contracted to develop code, so you might be alright to use your own work (but not that of your team-mate).
by woolcotm
April 23rd, 2008, 1:52 pm
Forum: Trading Forum
Topic: Using code from your old firm
Replies: 36
Views: 61610

Using code from your old firm

Surely this depends on your previous contract. Were you a developer? If not, then you were not contracted to develop code, so you might be alright to use your own work (but not that of your team-mate).
by woolcotm
February 11th, 2008, 6:55 pm
Forum: Trading Forum
Topic: questions for a fx forward trader
Replies: 21
Views: 107497

questions for a fx forward trader

<t>I WAS talking about using FRAs calculated from an OIS curve. The point I was trying to make (albeit badly) was that the OIS/FRA spreads are traded for the 3M FRA periods. As such, it seems reasonable to use these periods for priciing fwd fwds.So, to price 4M fwd, this implies using 1x4s and a 1M ...
by woolcotm
February 11th, 2008, 2:34 pm
Forum: Trading Forum
Topic: questions for a fx forward trader
Replies: 21
Views: 107497

questions for a fx forward trader

<t>Sorry to be a pest, but there is one more question I forgot to ask. How best to price the in betweens (4s & 5s, 7s & 8s etc). I am working on the basis that I should price this in a similar way to a front-stub IRS i.e. 4 months would be a 1 month "stub" plus 1x4s, 5 months would be 2 mont...
by woolcotm
February 11th, 2008, 1:53 pm
Forum: Trading Forum
Topic: questions for a fx forward trader
Replies: 21
Views: 107497

questions for a fx forward trader

Hi Cpulman,Thanks for getting back to me. Especially for the "post" fixing issue - I hadn't thought of that.
by woolcotm
February 11th, 2008, 10:01 am
Forum: Trading Forum
Topic: questions for a fx forward trader
Replies: 21
Views: 107497

questions for a fx forward trader

<t>Cpulman,I already have good "stepped" models for OIS and am now building a new FX pricer (for several currency pairs) and am considering the following:1) For the first 3 months, use "synthetic" libor curves based on a spread over OIS (Sonia, Eonia etc).2) Up to 1 year using 3 month FRAs derived f...
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