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by surya2cents
August 6th, 2015, 10:35 pm
Forum: Technical Forum
Topic: Midcurve swaption skew
Replies: 1
Views: 2941

Midcurve swaption skew

<t>I have nicely calibrated the SABR params for the USD 3m Libor swaptions which matches the market very well (after incorporating the correction due to Obloj - Fine Tuning the Smile paper). I am extending the pricing model to cover mid curve swaptions. Here I express a mid curve rate such as 3m1y1y...
by surya2cents
September 28th, 2014, 8:56 pm
Forum: General Forum
Topic: SABR interpolation along maturity dimension
Replies: 1
Views: 3644

SABR interpolation along maturity dimension

<t>SABR/LMM (there are several attempts by different authors, I am aware of one by Hagan/Lesniewski) is perhaps the "correct" way to go about it.... or am missign something. In this type of SABR/LMM there seems to be a ton of parameters to fit..so it doesn't come across as parsimonious. It is the pr...
by surya2cents
September 28th, 2014, 12:14 am
Forum: General Forum
Topic: SABR interpolation along maturity dimension
Replies: 1
Views: 3644

SABR interpolation along maturity dimension

<t>I am looking to build a swaption vol cube using SABR for fitting skew along different swaption expiries. For example, I fit SABR parameters for expiry = 1yr and expiry = 2yr. Now if my swaption expiry is 1.5 yr, how do I interpolate the SABR formulae? Lesniewski Vol Cube paper talks about using a...
by surya2cents
September 23rd, 2014, 1:08 pm
Forum: Technical Forum
Topic: Dv01 as a function of interpolation method
Replies: 3
Views: 3840

Dv01 as a function of interpolation method

<t>I am trying to see how the dv01 changes under different interpolation methods. I find that on a 10y30y usd libor swap with OIS discounting, the dv01 with linear interpolation of zero rates gives adv01 that is nearly 10% lower than that of monotone convex. I was surprised at such a large differenc...
by surya2cents
September 23rd, 2014, 1:05 pm
Forum: Technical Forum
Topic: DTF rates for COP
Replies: 6
Views: 4393

DTF rates for COP

For COP, the standard way to build discount curve is to use FX forwards (NDFs) till 2 years and then cross ccy basis swaps (6m libor vs COP). The "libor" curve would be based off of COP IBR swaps (IBR vs fixed COP). This is the standard procedure in the interbank markets.
by surya2cents
August 3rd, 2014, 11:13 pm
Forum: General Forum
Topic: Monotone convex interpolation set up
Replies: 0
Views: 3956

Monotone convex interpolation set up

<t>I am trying to use monotone convex interpolation described in the Hagan-West paper. Say to make things easier, we are in a single curve framework and use 3m-libor swaps upto 20 years. For Hagan-West we need all the 3m forwards used in the longest swap as inputs, giving us 20 * 4 = 80 3m forwards ...
by surya2cents
June 13th, 2014, 11:44 am
Forum: Technical Forum
Topic: approximate Jacobian calculation
Replies: 6
Views: 5455

approximate Jacobian calculation

<t>Is there a fast approximate Jacobian calculation of swaps with respect to libor and discount curves? I am trying to bootstrap 3M libor and OIS discount using OIS swaps, libor-ois basis swaps and 3m libor swaps. The solver uses a levenberg-marquardt algorithm and calculates an approximate numerica...
by surya2cents
May 9th, 2014, 6:36 pm
Forum: Programming and Software Forum
Topic: incorporating holiday calendar while generating business days
Replies: 12
Views: 5351

incorporating holiday calendar while generating business days

<t> I am trying to produce realistic schedule generation using holiday calendars. Are there good sources of obtaining holiday calendars ? Anything to watch out for while implementing in C# or Python ? I will be implementing the following natural method - getNthBday which given a date and a holiday c...
by surya2cents
May 9th, 2014, 5:23 pm
Forum: Programming and Software Forum
Topic: Design pattern for separating market data from pricing algorithm
Replies: 14
Views: 5685

Design pattern for separating market data from pricing algorithm

<t>Thanks Cuch, Polter and katastrofa. I have used the links and suggestions below to arrive at a rough plan. But before I proceed further, I need to sort out certain "utility" items such as schedule generation with respect to multiple holiday calendar. I will return to this thread very soon with fu...
by surya2cents
May 4th, 2014, 1:12 am
Forum: Programming and Software Forum
Topic: Design pattern for separating market data from pricing algorithm
Replies: 14
Views: 5685

Design pattern for separating market data from pricing algorithm

<t>I have been pondering about this for a few days. Is there a good set of principles to separate market objects such as yield curves, vol surfaces etc from the pricing code. For example, a swap can be constructed knowing the fixed and float leg schedules. When I need to get the pv, I want to say so...
by surya2cents
April 24th, 2014, 12:02 pm
Forum: Off Topic
Topic: The First Quarterly OT Trading Contest - Q2 2014
Replies: 751
Views: 18798

The First Quarterly OT Trading Contest - Q2 2014

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: surya2centsQuoteOriginally posted by: daveangelQuoteOriginally posted by: trackstarQuoteOriginally posted by: surya2centsQuoteOriginally posted by: trackstarFor my own fund, the main concern at the moment is approximately 750 million ...
by surya2cents
April 24th, 2014, 12:01 pm
Forum: Off Topic
Topic: The First Quarterly OT Trading Contest - Q2 2014
Replies: 751
Views: 18798

The First Quarterly OT Trading Contest - Q2 2014

<t>QuoteOriginally posted by: ppauperQuoteOriginally posted by: tagomaQuotePerfect time to short (750/550) million tones of US soy bean FOB gulf of mexico.That seems a big trade to me. This marketing campaign's world soybean production is approximately 285 mln metric tonnes.that's one of the things ...
by surya2cents
April 24th, 2014, 1:50 am
Forum: Off Topic
Topic: The First Quarterly OT Trading Contest - Q2 2014
Replies: 751
Views: 18798

The First Quarterly OT Trading Contest - Q2 2014

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: trackstarQuoteOriginally posted by: surya2centsQuoteOriginally posted by: trackstarFor my own fund, the main concern at the moment is approximately 750 million that is sitting doing nothing. While patience in waiting for the right opp...
by surya2cents
April 23rd, 2014, 12:16 am
Forum: Off Topic
Topic: The First Quarterly OT Trading Contest - Q2 2014
Replies: 751
Views: 18798

The First Quarterly OT Trading Contest - Q2 2014

<t>QuoteOriginally posted by: trackstarFor my own fund, the main concern at the moment is approximately 750 million that is sitting doing nothing. While patience in waiting for the right opportunities may be good, we only have two months and 8 days to go for the Q2 contest.Perfect time to short (750...
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