Serving the Quantitative Finance Community

Search found 25 matches

  • 1
  • 2
by 2fingers
May 29th, 2023, 11:21 pm
Forum: Technical Forum
Topic: Pricing in Asian illiquidity markets (Caps/Floor)
Replies: 4
Views: 3876

Re: Pricing in Asian illiquidity markets (Caps/Floor)

Ah cool… yes I’ve done some work too on this data and spent some on side project cleaning up, mapping the fields (pre and post dec 5th 2022 when they changed all the field names and added new ones)… Lemme know what you are looking for specifically and over what kind of period will see if I can help...
by 2fingers
May 22nd, 2023, 11:36 pm
Forum: Technical Forum
Topic: Pricing in Asian illiquidity markets (Caps/Floor)
Replies: 4
Views: 3876

Re: Pricing in Asian illiquidity markets (Caps/Floor)

so yes, the SDR data from DTCC.  Not really seen anything.  The fields are not very consistent.  Some caps data seemed to have gone in the swaptions area.  I saw some that has 2 months expiry, so maybe there are Aonia Caps trading out there.
by 2fingers
May 9th, 2023, 6:06 am
Forum: Technical Forum
Topic: Pricing in Asian illiquidity markets (Caps/Floor)
Replies: 4
Views: 3876

Pricing in Asian illiquidity markets (Caps/Floor)

Hi all There seems be a lack of liquidity for caps/floors for Asia currencies, not even AUD.  I should be able to get the shorter end ATM cap/floors, but nothing much on the skews.  Can't see much in SDR apart from USD/EUR/JPY.  Only thing remotely have a skew is the ASX 3Y and 10Y AUD Bond Futures ...
by 2fingers
January 3rd, 2011, 12:10 am
Forum: General Forum
Topic: Hard to borrow stocks- does option pricing need adjustment for them?
Replies: 17
Views: 167162

Hard to borrow stocks- does option pricing need adjustment for them?

<r>thanks all for the reply, fyi, think some of the asian indices have quarterly futures contract with monthly options in the first 3 months, so I would be leaning towards adding the borrowing cost. I was referring to cash settled options on the actual index rather than options on the futures (index...
by 2fingers
December 29th, 2010, 7:32 am
Forum: General Forum
Topic: Hard to borrow stocks- does option pricing need adjustment for them?
Replies: 17
Views: 167162

Hard to borrow stocks- does option pricing need adjustment for them?

<t>Hi All, A related question about index options. Should the borrow costs of the constituent components of the index have any affect on index options as well, given the trader should be using futures instead, and most exchanges would allow long and short futures. I do see index traders put in the b...
by 2fingers
August 12th, 2010, 12:01 am
Forum: Trading Forum
Topic: Where "should" HKD be trading?
Replies: 22
Views: 30937

Where "should" HKD be trading?

<t>If ever the HKD will be unpegged, it'll most likely to be repegged to the Chinese Reminbi. The HK government already said it makes sense for the HKD to be pegged to the CNY, but only if it's a free floating currency. Sure enough you just want a "theoretical" value for HKD when unpegged, will be i...
by 2fingers
June 28th, 2010, 2:02 am
Forum: Trading Forum
Topic: Vol for High strike Options
Replies: 7
Views: 28938

Vol for High strike Options

<t>I had the same problem before, I ended up looking everywhere for higher strike option quotes from FO or even MO from the OTC market.I did get these bid/offer quotes finally, but they're usually a few days old.With this information (a few days old), how would one recommend in marking the curve for...
by 2fingers
October 9th, 2009, 7:22 am
Forum: Programming and Software Forum
Topic: Architecture for a live data feed provider
Replies: 4
Views: 35192

Architecture for a live data feed provider

<t>If you're worried about the amount of data either pumped out of the server or listening from the client can handle, then it can be solved using queues. However, it does get complicated if you need to guarantee all the data getting published. It's better to use a thirdparty software, instead of fi...
by 2fingers
September 17th, 2009, 5:25 am
Forum: Programming and Software Forum
Topic: Does Bloomberg API include email?
Replies: 7
Views: 39321

Does Bloomberg API include email?

I haven't been able to find it either, the conspiracy theory is that if they put the email api in, the users who only use bloomberg as an email system won't need bloomberg anymore... maybe the server api has it
by 2fingers
May 25th, 2009, 11:34 pm
Forum: Programming and Software Forum
Topic: Software for volatility handling
Replies: 2
Views: 39246

Software for volatility handling

actually, I'll be interested in this as well, most of this I've seen are in-house. I think Orc has something, but haven't looked into it.I'm not sure if the vol handling software by itself is any good without seeing the affect to the PnL, kind of a whatIf scenarios to their PnL.
by 2fingers
September 15th, 2008, 1:08 am
Forum: Trading Forum
Topic: Asia open on Sept 15 (and now Sept 30)
Replies: 9
Views: 51145

Asia open on Sept 15 (and now Sept 30)

might as well say asia is close today, korea is closed as well
by 2fingers
September 8th, 2008, 12:05 pm
Forum: Trading Forum
Topic: Successful entrepreneur looking to partner with a successful trader
Replies: 5
Views: 52294

Successful entrepreneur looking to partner with a successful trader

just curious, why did you use a nick called ctastartup1, would there be another startup later on using the nick ctastartup2?
by 2fingers
July 7th, 2008, 11:54 pm
Forum: Programming and Software Forum
Topic: tools to monitor linux performance/load remotely
Replies: 21
Views: 56556

tools to monitor linux performance/load remotely

mrtg http://oss.oetiker.ch/mrtg/ is one, it's not just for networks, u can set it to monitor cpu load..etc or even anything on the network with snmpi'm sure there're better ones now, search for it in sourceforge
by 2fingers
June 21st, 2008, 2:09 pm
Forum: Programming and Software Forum
Topic: Hard Excel Interview questions
Replies: 20
Views: 59406

Hard Excel Interview questions

<t>I was once asked if I dream about Excel when I sleep by a "trying to be funny manager", as I have to work with dozens of XXMb excels spreadsheets at any time. Unfortunately his assumption then was that I knew nothing about software design and software architectures. There's a misconception that i...
  • 1
  • 2