SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 233 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 16
by doublebarrier2000
May 9th, 2020, 3:38 am
Forum: Trading Forum
Topic: SOFR vs FF Basis Swaps - Convexity?
Replies: 2
Views: 2646

Re: SOFR vs FF Basis Swaps - Convexity?

SOFR wilĺ use daily compounded rates and, without a spread, they do not need convexity whereas daiily averaging rates certainly do; like traditional FF swaps
by doublebarrier2000
October 28th, 2019, 8:37 pm
Forum: General Forum
Topic: XVA; X = cost of busted limits + PL predict failure
Replies: 2
Views: 3958

XVA; X = cost of busted limits + PL predict failure

When a counterparty defaults, you will loose XYZ in terms of the positive  "mark to market" of the positions you had with that counterparty

What about the the fact that those trades were part of a complex hedging strategy that has bnow left you
by doublebarrier2000
September 16th, 2019, 2:52 am
Forum: Forum and Website Bugs and Suggestions
Topic: Should the Lib Dems be tippexed or rehabitated?
Replies: 2
Views: 7044

Re: Should the Lib Dems be tippexed or rehabitated?

If it wasn't for the Lib Dems, nobody would have known the "SBS" existed!!
by doublebarrier2000
September 4th, 2019, 1:46 pm
Forum: General Forum
Topic: LIBOR Replacement Secured vs Unsecured
Replies: 3
Views: 4134

Re: LIBOR Replacement Secured vs Unsecured

TBC I am afraid
by doublebarrier2000
September 4th, 2019, 3:15 am
Forum: General Forum
Topic: Negative Strike Price
Replies: 11
Views: 4915

Re: Negative Strike Price

if the underlying is a basis, I would suggest a spread option model of some nature. 
; but you add a displacement (assuming S + d is log normally distributed) and re-calibrate your smile parameters. This is how negative rates & strikes are dealt with 
by doublebarrier2000
August 27th, 2018, 1:11 pm
Forum: Student Forum
Topic: Correlated random numbers using cholesky vs multivariate normal random number
Replies: 2
Views: 921

Re: Correlated random numbers using cholesky vs multivariate normal random number

scipy will give you correlated N(0,1)  whereas the numpy will give yu the correlated RVs with the correct mean and stdev
by doublebarrier2000
August 27th, 2018, 1:04 pm
Forum: Technical Forum
Topic: Delta for Barrier Option
Replies: 5
Views: 922

Re: Delta for Barrier Option

depends on your observatin frequency
continuous, hourly etc
by doublebarrier2000
January 16th, 2017, 12:35 am
Forum: General Forum
Topic: Illiquid swaption implied vol calculation
Replies: 2
Views: 626

Re: Illiquid swaption implied vol calculation

no triangle rule here but I am sure you can use some sort of joint calibration
by doublebarrier2000
October 12th, 2016, 11:28 pm
Forum: Technical Forum
Topic: FX option pricing in practice
Replies: 5
Views: 2129

Re: FX option pricing in practice

supply and demand, however, it depends on how many players exist. That is why experience is a valuable quantity. I suggest you tell your sales guy to get as much as he can. Seriously, you will need to get some sort of implied vol,  RR and BF quotes from your broker and use that to construct a smile....
by doublebarrier2000
May 22nd, 2016, 8:58 pm
Forum: Numerical Methods Forum
Topic: Transformation of Black vol to Normal Vol
Replies: 29
Views: 5035

Transformation of Black vol to Normal Vol

surely, your belief is driven by whatever b*stardised model you employ that allows you to hedge accurately. You rreally do want to know if you are short gamma when the crash comes!
by doublebarrier2000
May 22nd, 2016, 8:42 pm
Forum: Technical Forum
Topic: "Convex" standard FRA
Replies: 4
Views: 2200

"Convex" standard FRA

<t>i have seen convexity used or vanilla swaps where we have a 1 or 2 day natural payment delay (overkill) although it will depend on your bootstrapping software and most tedious subject of dates generation (the reset, reset accrual and payment accrual schedules etc), Royal weddings and funerals are...
by doublebarrier2000
May 2nd, 2016, 5:32 pm
Forum: General Forum
Topic: Vol used in interest rate cap pricing
Replies: 8
Views: 1948

Vol used in interest rate cap pricing

you got it... remember , an ATM Cap will use the same strike for all caplets which is likely to be diverging from the ATM for each caplet; i.e. the ATM strike for a 5y Caplet on 6m ibor , for example, will be the 5Y swap (with 6m projection)
by doublebarrier2000
May 2nd, 2016, 5:18 pm
Forum: Technical Forum
Topic: Interpolation of shift values for shifted EUR swaption vol?
Replies: 3
Views: 1120

Interpolation of shift values for shifted EUR swaption vol?

generally use the same interpolation for the shift as for the standard parameters
by doublebarrier2000
June 23rd, 2015, 12:14 am
Forum: General Forum
Topic: ICAP, Vols Using Displaced Diffusion?
Replies: 6
Views: 11885

ICAP, Vols Using Displaced Diffusion?

We certainly use a displaced sabr model for some CCYs for vanillas and exotics. It can be non trivial recalibrating the displaced Sabr parameters (from a standard calibration) as you have complete freedom over which products and strikes/deltas should be used.
by doublebarrier2000
June 17th, 2015, 10:23 pm
Forum: Technical Forum
Topic: Inflation Swaps / Turn of month (again)
Replies: 8
Views: 3779

Inflation Swaps / Turn of month (again)

..pcaspers.you also should remember that most EUR Indices use linear interpolation for the base level (between 3m and 2m lag using the 1st of the month..) same for the final expected index value too.
  • 1
  • 2
  • 3
  • 4
  • 5
  • 16
GZIP: On