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August 22nd, 2013, 3:29 pm
Forum: Technical Forum
Topic: closed end fund duration estimate
Replies: 1
Views: 6620

### closed end fund duration estimate

<t>Hi, Has anyone tried to estimate the duration of a closed end fund / preferred shares? Let's say this is a fund that holds muni and corporate bonds, trades at a discount, pays floating dividends, and is callable at par on a fixed future date. The fund also can redeem shares at par at any time. So...
December 5th, 2011, 12:47 pm
Topic: call option / BMA swap hedge
Replies: 0
Views: 16714

### call option / BMA swap hedge

<t>Hi, so I'm looking at a BMA swap to hedge a muni bond portfolio. I'd like to protect against the downside of the swap and also hedge the muni callability / negative convexity risk using a call option. My question is how to size the option position to accomplish both of these objectives? Let's ass...
November 16th, 2011, 1:03 pm
Topic: hedging a callable bond
Replies: 4
Views: 18778

### hedging a callable bond

Thanks much, and agreed. I guess what I was also asking with probability of call was beyond the first order delta hedge - in other words, hedging the callable with an optional-type structure. How have you seen this done in practice?
November 15th, 2011, 6:50 pm
Topic: hedging a callable bond
Replies: 4
Views: 18778

### hedging a callable bond

Why would that be? In either case, is duration, time to call, or legal maturity the correct basis for hedging?
November 14th, 2011, 4:26 pm
Topic: hedging a callable bond
Replies: 4
Views: 18778

### hedging a callable bond

Hi, is it better practice when hedging a callable bond to hedge based on bond duration, or time to call, rather than actual maturity? Or does the probabilty of call need to be taken into account somehow? Many thanks,
November 9th, 2011, 5:24 pm
Forum: Technical Forum
Topic: basis swap hedging with an option - hedge ratio
Replies: 0
Views: 17149

### basis swap hedging with an option - hedge ratio

<t>Hi, let's say I have a basis swap position pay fixed receive floating interest rate. To protect against the downside of losses in a falling rate environment I purchase IR call options. How do I size the call option hedge? In other words, what is a "simple" optimal hedge ratio calculation? I have ...
September 20th, 2011, 2:31 pm
Forum: General Forum
Topic: EaR and bpv
Replies: 2
Views: 17701

### EaR and bpv

Thanks - I look forward to seeing these notes. The problem is that we have only EaR and EVE, and the challenge is to find a reasonable way to back into bpv...
September 19th, 2011, 4:41 pm
Forum: General Forum
Topic: EaR and bpv
Replies: 2
Views: 17701

### EaR and bpv

I'm not too familiar with ALM and Earnings at Risk, but is there a simple way of converting from EaR to bpv? Thanks in advance.
August 1st, 2011, 5:31 pm
Topic: hedge ratios
Replies: 0
Views: 17870

### hedge ratios

Hi, Anyone heard of any guidelines for % hedge ratios for a flow bond book where much of the inventory tuns over in 1-3 days? I've heard of guidlines like 50-60% for prop books but this may be too much for such a flow book. Thanks in advance,
July 26th, 2011, 7:43 pm
Replies: 2
Views: 19037

Makes sense - many thanks!
July 20th, 2011, 8:56 pm
Replies: 2
Views: 19037

<t>If I look at 10 year high grade cash municipal bond to Libor yield spreads, these have typically been in the 100bps range but since late last year have narrowed to a tenth of that. If the spread represents the premium that is paid for tax-exempt municipal bonds versus taxable Libor instruments (a...
May 24th, 2011, 6:30 pm
Forum: Technical Forum
Topic: option delta on bond future underlier
Replies: 3
Views: 21436

### option delta on bond future underlier

Can anyone comment on whether my formula is correct for a delta on an option on a future?
May 19th, 2011, 4:04 pm
Forum: Technical Forum
Topic: option delta on bond future underlier
Replies: 3
Views: 21436

### option delta on bond future underlier

So I should expect to see key rate risk on the option for the duration of the underlier (I guess for scenarios where there is exercise)?
May 19th, 2011, 2:47 pm
Forum: Technical Forum
Topic: option delta on bond future underlier
Replies: 3
Views: 21436

### option delta on bond future underlier

<t>Hi, I need to do key rate risk analysis on an option on a Treasury future, where the option expires in a number of months and the underlier in many years.I would think of doing something like the following: (Pu-Pd)/(Su-Sd)Su= bond price +1%Sd= bond price -1%Pu= option value with SuPd= option valu...
March 12th, 2010, 5:05 pm
Forum: Technical Forum
Topic: indeterminate deposit maturity modeling
Replies: 4
Views: 34579

### indeterminate deposit maturity modeling

DavidJN,Many thanks. Would you have a link to the Jarrow and van Deventer paper by any chance?
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