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by giladr
December 24th, 2014, 4:52 am
Forum: Student Forum
Topic: Interest rate VaR with zero-percent rates
Replies: 1
Views: 3238

Interest rate VaR with zero-percent rates

<t>Hi,Just confronted with this problem and seeking clarity regarding best practice and solutions.Calculating parametric var on an interest instrument, first the exposure is calculated as DVi*(1/(1+Ri), then the weighted exposure is calculated by multiplying the exposure with the interest rate itsel...
by giladr
April 21st, 2014, 4:20 pm
Forum: Trading Forum
Topic: FX forward uncoll?
Replies: 6
Views: 5680

FX forward uncoll?

I work in a bank which has CSAs with all the major IBs and in CSA definitely accounts for the MTM of fwds/fx swaps. So no they're not different from IRS, fx opt, etc.
by giladr
January 7th, 2014, 8:21 am
Forum: Trading Forum
Topic: FX Options most important greeks
Replies: 4
Views: 6614

FX Options most important greeks

Both Charm and Color are relevant only for very short expiries, when it's less about the option itself and more about the spot behavior you expect to see in the next 2-3 days.
by giladr
January 1st, 2014, 6:14 am
Forum: Trading Forum
Topic: FX swaps
Replies: 3
Views: 7943

FX swaps

<t>Hi Jeremy,I'll try to explain FX Swaps quickly:FX Swap is simultaneously buying and selling of fx spot and fx forward. You can do both directions (buy & sell, sell & buy -> fx spot & fx forward respectively).Obviously, you don't execute 2 deals, and dealer will quote you the differenc...
by giladr
December 31st, 2013, 8:25 am
Forum: Trading Forum
Topic: FX Options most important greeks
Replies: 4
Views: 6614

FX Options most important greeks

imho vanna (d vega d spot). I didn't really see people paying much attention to speed, but it might have been a bad thing.
by giladr
December 30th, 2013, 6:12 am
Forum: Technical Forum
Topic: Understanding cross currency basis swap quotes involving three currencies
Replies: 1
Views: 6582

Understanding cross currency basis swap quotes involving three currencies

Might be that what you're seeing is a eur/jpy ccirs with usd csa?
by giladr
December 15th, 2013, 10:18 am
Forum: Student Forum
Topic: A question on Vega
Replies: 3
Views: 6164

A question on Vega

<t>The portfolio is unhealthy.A massive move in vega overnight means your portfolio is highly non-linear (my bet is triggers/barriers and the likes) and the fact that you're unaware and asking here is a clear indication of the portfolio's health.Didn't mean to come off rude, but I guess u got the sh...
by giladr
December 11th, 2013, 9:02 am
Forum: Student Forum
Topic: Questions: Options/Swaps/CSA
Replies: 6
Views: 6585

Questions: Options/Swaps/CSA

Thanks.I'm also trying to think (regarding #2) if bootstrapping should be affected by this. OIS discounted swap rates are considered par? suddenly it's not that obvious to me.
by giladr
December 5th, 2013, 6:57 am
Forum: Trading Forum
Topic: Bitcoins
Replies: 64
Views: 12423

Bitcoins

It would be interesting if bitcoin futures popped up... I'd be very curious to see how the time structure of this thing will evolve.
by giladr
December 4th, 2013, 11:56 am
Forum: Trading Forum
Topic: Bitcoins
Replies: 64
Views: 12423

Bitcoins

3600 bitcoins daily * $1200 = $4.32 mio. Electricity costs around $11 mio.Means that someone is losing money fast, and I don't buy into the theory that costs drive prices...
by giladr
December 2nd, 2013, 11:47 am
Forum: Student Forum
Topic: Questions: Options/Swaps/CSA
Replies: 6
Views: 6585

Questions: Options/Swaps/CSA

Thanks bearish.Let me be a little more specific, I'm looking to know what I'm paying theta for, not that options have value in general.If I'll move to a binomial tree, it'll be like moving 1 step forward in a 3rd (nonexistant) state, but I can't see how that helps me...
by giladr
December 2nd, 2013, 10:56 am
Forum: Technical Forum
Topic: 10d 25d ratios
Replies: 5
Views: 8744

10d 25d ratios

Yes you are correct. This kind of "extrapolation" is sometimes done in very illiquid crosses.
by giladr
December 2nd, 2013, 10:45 am
Forum: Trading Forum
Topic: FX: How to calculate Swap Points
Replies: 4
Views: 11480

FX: How to calculate Swap Points

<t>QuoteOriginally posted by: royalflushCan somebody explain me how I calculate the fair Value of Swap Points? Actually, it is my understanding that you can't. For you to be able to calculate the fair value of fx swap, you will need a very liquid market in short term xccy basis swaps.That market doe...
by giladr
December 2nd, 2013, 10:37 am
Forum: Student Forum
Topic: swaps notional
Replies: 4
Views: 6317

swaps notional

<t>QuoteOriginally posted by: acastaldoIt would require an upfront payment at the start from one party to the other, which is inconvenient and goes against the basic concept of swaps: derivatives that initially have zero valueAssuming the parties have CSA in place, this is just moving $ through the ...
by giladr
December 2nd, 2013, 10:34 am
Forum: Student Forum
Topic: How is the FX vol smile constructed in Bloomberg?
Replies: 4
Views: 7060

How is the FX vol smile constructed in Bloomberg?

Actually they provide 2 methods: Vanna-Volga and SLV, and you can choose what px to get.Their SLV method is explained in a paper by Tataru, Fisher and Yu.
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