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by Panoramix
June 20th, 2014, 11:38 am
Forum: Student Forum
Topic: Swap spread basic question
Replies: 8
Views: 4629

Swap spread basic question

<t>QuoteOriginally posted by: haginileThe 2003 episode was probably one of the most famous "convexity hedging" event. Here's a quote from a research note --An important technical factor driving intermediate swap spreads is mortgage convexity hedging. Mortgage duration tends to increase when rates in...
by Panoramix
June 19th, 2014, 3:00 pm
Forum: Student Forum
Topic: Swap spread basic question
Replies: 8
Views: 4629

Swap spread basic question

I really appreciate it.Thx Martinghoul and daveangel!
by Panoramix
June 19th, 2014, 2:15 pm
Forum: Student Forum
Topic: Swap spread basic question
Replies: 8
Views: 4629

Swap spread basic question

<t>QuoteOriginally posted by: MartinghoulI am not sure what time period you're referring to exactly and also your terminology. During the big 2003 rally (mid April to the low in mid June, arnd 90bps on 10y UST yield), spreads tightened arnd 15bps, which is sort of what you'd expect.In general, mtge ...
by Panoramix
June 19th, 2014, 1:25 pm
Forum: Student Forum
Topic: Swap spread basic question
Replies: 8
Views: 4629

Swap spread basic question

BUMP
by Panoramix
June 17th, 2014, 9:25 am
Forum: Student Forum
Topic: SEK Central Bank Meeting OIS
Replies: 5
Views: 4693

SEK Central Bank Meeting OIS

<t>QuoteOriginally posted by: MartinghoulWell, with a bit of painstaking date magic and some interpolations, it shouldn't be too difficult. I mean people have been doing this with FedFunds futures for donkey's years and you can find a lot of papers on the subject. The beauty of RIBAs is that they re...
by Panoramix
June 16th, 2014, 11:28 am
Forum: Student Forum
Topic: Swap spread basic question
Replies: 8
Views: 4629

Swap spread basic question

<t>Hi all. I have a small doubt about swap spread and mortgages hedging. If interest rates are increasing the mortgage duration is increasing so a mortgage PM is in need to pay swap. The overall effect on the swap spread is a widening. The opposite is true in case of decreasing interest rates, allow...
by Panoramix
April 3rd, 2014, 7:31 am
Forum: Off Topic
Topic: The First Quarterly OT Trading Contest - Q2 2014
Replies: 751
Views: 20015

The First Quarterly OT Trading Contest - Q2 2014

<t>QuoteOriginally posted by: trackstarAnnouncing: an Opening at White Pine Wealth ManagementQuant Trader to assist with option pricing, trading, and strategy development at new multistrategy hedge fundSmall, elite teamBleeding edge technologyGenerous compensation packageWe are located in Greenwich,...
by Panoramix
April 2nd, 2014, 2:52 pm
Forum: Off Topic
Topic: The First Quarterly OT Trading Contest - Q2 2014
Replies: 751
Views: 20015

The First Quarterly OT Trading Contest - Q2 2014

<t>@ daveangel: you are right we do not know, but being long 30 mio golds is offsetting her losses, but again it is only my 2 cents@ paltinum: thx a lot: finally i have something interesting to read after my gym and 5 kms jogging@ farmer: i simply love the way you reason....a true WS banker!@ ppaupe...
by Panoramix
April 2nd, 2014, 12:19 pm
Forum: Off Topic
Topic: The First Quarterly OT Trading Contest - Q2 2014
Replies: 751
Views: 20015

The First Quarterly OT Trading Contest - Q2 2014

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: trackstarApril 2, 2014Gold spot is 1282.61 right now Gold Spot - BloombergOpen: 1,278.9500 Day's Range: 1,278.5000 - 1,284.1200Previous Close: 1,278.9500 52wk Range: 1,180.5700 - 1,604.0000So let's try a Long Straddle.$35 million in A...
by Panoramix
June 5th, 2013, 11:59 am
Forum: Trading Forum
Topic: ECB Main Refinancing Rate vs Federal Funds Target Rate US
Replies: 14
Views: 11184

ECB Main Refinancing Rate vs Federal Funds Target Rate US

<t>Hi everybody.Even if i am late i would like to provide my small contribution to this useful community.According to my point of view, Eonia is trading much lower wrt Sonia mainly because of 2 reasons:1)Excess liquidity in the EU system (read it as LTROs): more liquidity less cost to get it2)Banks ...
by Panoramix
May 30th, 2013, 10:53 am
Forum: Student Forum
Topic: GC repo
Replies: 3
Views: 7342

GC repo

<t>Hi Martinghoul,yes, i am looking for the historical one but also for the daily quotes. It may be the best if i would be able to retrieve the data directly from a main broker/dealer. I know you need to subscribe for live price indications, but if there is any good proxy available on BBG or some ot...
by Panoramix
May 30th, 2013, 7:24 am
Forum: Student Forum
Topic: GC repo
Replies: 3
Views: 7342

GC repo

Hi everybody,I am looking for a free source of GC repo market, mainly for Germany, Spain and Italy.Thanks in advance for your helpPano
by Panoramix
October 29th, 2012, 3:14 pm
Forum: Student Forum
Topic: DV01 Calculation
Replies: 7
Views: 33036

DV01 Calculation

<t>QuoteOriginally posted by: wickedwitif you were long 1mm of one and short 1mm of the other, you have the right concept but the wrong decimal place. Think about what you have here: a dvo1 of .0175 and .0708 is really a dollar duration of 1.75 and 7.08 divided by 100. So 525k is way too much if 100...
by Panoramix
October 16th, 2012, 12:17 pm
Forum: Student Forum
Topic: DV01 Calculation
Replies: 7
Views: 33036

DV01 Calculation

<t>I got a quick question about it, just to have a double check and understand if i understood the overall speech.Suppose i have the following position:short on 2 years bond and long on 10 years bond, for which the respective dollar value per BPS at a mid price is 0.0175 and 0.0708 (BBG field is DOL...
by Panoramix
August 24th, 2012, 7:44 am
Forum: Student Forum
Topic: Sinkable bond
Replies: 0
Views: 11523

Sinkable bond

<t>Hi everyone,i am trying to replicate the same YTM i found in BBG as a small step for my pricer. Recently i was told to cover also part of the sinkable bonds and among them the Irish ones. In order to better understand this kind of security i tried to compute the YTM.Unluckily i am not able to get...
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