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by rmexico
December 19th, 2008, 1:24 pm
Forum: Brainteaser Forum
Topic: On a Lighter Note...
Replies: 9
Views: 47489

On a Lighter Note...

<t>How about the word "love", in the literal sense. People say stuff like "I'm loving it", but I think that's just an expression. If I said something like "I'm loving my wife", people would think I'd be talking about sex. Edit: I just realized that if I said something like "I'm knowing my wife", peo...
by rmexico
December 15th, 2008, 6:43 pm
Forum: Brainteaser Forum
Topic: Fish in a Lake
Replies: 22
Views: 50895

Fish in a Lake

Rralph's solution is elegant, but as an avid fisherman, I suspect that any fish that's caught and released is far less likely to be caught again (i.e., fish learn to avoid lures and things that look like hooks).
by rmexico
December 3rd, 2008, 11:55 am
Forum: Brainteaser Forum
Topic: Who Gets The Prize?
Replies: 25
Views: 65849

Who Gets The Prize?

<t>QuoteOriginally posted by: wileyswi understand your reasoning. and i'm wondering why you believe there is a best number.just use the 10 example, why do you prefer number 8 (or 12, 13) to number 10? don't you expect to win by 10 as well? note you believe everyone else chooses same number. isn't 10...
by rmexico
December 2nd, 2008, 8:37 pm
Forum: Brainteaser Forum
Topic: Who Gets The Prize?
Replies: 25
Views: 65849

Who Gets The Prize?

<t>Sorry. I should've explained better. Maybe I read the problem wrong.I was saying if I choose a number above 72, say 89, then I win if the average is 71.2 or 111.25. The latter isn't possible, so I only win if the average is 71.2. Alternatively, I could choose 71.2*4/5 for my number, in which case...
by rmexico
December 2nd, 2008, 5:42 pm
Forum: Brainteaser Forum
Topic: Who Gets The Prize?
Replies: 25
Views: 65849

Who Gets The Prize?

<t>Is it 1? Here's my (probably flawed) reasoning. I wouldn't pick a number higher than 72, because 5/4*72=90, which is the highest possible average. Assuming nobody else picks a number higher than 72, I wouldn't pick a number higher than 57.6, because 5/4*57.6=72. Keep this up, and you get to 1. </t>
by rmexico
September 2nd, 2008, 5:15 pm
Forum: Student Forum
Topic: curve shape and duration
Replies: 3
Views: 49842

curve shape and duration

<t>A bond yield is a weighted average of the zero coupon yields on the bond's cash flow dates. So you have exposure to a lot of points on the curve. For a treasury, the most important point is the one that corresponds to the principal repayment.To take an extreme example, compare a bond that pays co...
by rmexico
July 24th, 2008, 12:24 pm
Forum: General Forum
Topic: Duration Shedding
Replies: 4
Views: 52889

Duration Shedding

People use swaps to hedge mortgage positions. If rates rise, mtg durations rise, so mtg owners have to pay fixed on swaps to stay duration neutral. All else equal, this hedging makes swap rates rise relative to treasurys.
by rmexico
July 15th, 2008, 1:35 pm
Forum: Trading Forum
Topic: Another bank failure IndyMac
Replies: 74
Views: 77242

Another bank failure IndyMac

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: MartinghoulThe thing that worries me about this picture is a) IndyMac was not one of the banks on the FDIC 'watch list' of 90 troubled institutions; b) the US GOVT, as a whole, is running out of balance sheet very very fast here, a...
by rmexico
July 9th, 2008, 6:49 pm
Forum: General Forum
Topic: Correlation on volatility..is it possible?
Replies: 10
Views: 53698

Correlation on volatility..is it possible?

Oil is by far the biggest driver of heating oil, so how could the volatilities NOT be positively correlated? Not a rhetorical question--I can't think of a counter-example. Seems like refiners can pass on their cost increases pretty easily.
by rmexico
June 24th, 2008, 10:58 am
Forum: Student Forum
Topic: Newbie question: Gas implied vols/historical vols
Replies: 2
Views: 52211

Newbie question: Gas implied vols/historical vols

The short answer is that volatility is much higher now than it's ever been. WTI oil futures, for example, recently had their biggest one-day move ever two days in a row. If you expect the drivers of this volatility to persist, implied vols should be higher than historical vols.
by rmexico
June 16th, 2008, 11:56 am
Forum: Student Forum
Topic: Intuitive early exercise
Replies: 3
Views: 53102

Intuitive early exercise

If you exercise early and hold the stock to options expiry, you'll incur financing costs. Plus, if the stock tanks during that time, you'll wish that you hadn't exercised.
by rmexico
June 2nd, 2008, 1:21 pm
Forum: General Forum
Topic: Anyone heard about OAS for a Bond Future?
Replies: 2
Views: 54264

Anyone heard about OAS for a Bond Future?

I doubt that there's a way to figure out the CTD using LOAS. LOAS tells you the financing spread over the entire life of a bond. With futures, you only care about the financing spread to the delivery date.
by rmexico
May 29th, 2008, 1:10 pm
Forum: General Forum
Topic: Why do we have to (or should) calculate the volatility for return instead of original prices?
Replies: 9
Views: 54902

Why do we have to (or should) calculate the volatility for return instead of original prices?

I might be wrong, but I think you're supposed to model returns (or log prices) in order to avoid any possiblility of negative prices.
by rmexico
May 29th, 2008, 1:03 pm
Forum: Trading Forum
Topic: Libor Speculation
Replies: 3
Views: 54835

Libor Speculation

The risk per contract is just $25/bp. 200 bps would be a big move in the front contracts, so they're not all that risky.
by rmexico
May 12th, 2008, 5:58 pm
Forum: Student Forum
Topic: Persistence in econometrics
Replies: 2
Views: 56489

Persistence in econometrics

The term "persistence" refers to how long a shock lasts. If a time series has a unit root, shocks last forever.
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