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by smithy
May 14th, 2009, 12:17 pm
Forum: General Forum
Topic: Eurodollar futures
Replies: 3
Views: 39739

Eurodollar futures

<r>re the prices as listed herehttp://<URL url="http://www.cmegroup.com/trading/interest-rates/stir/eurodollar.htmlfor"><LINK_TEXT text="www.cmegroup.com/trading/interest-rates ... ar.htmlfor">www.cmegroup.com/trading/interest-rates/stir/eurodollar.htmlfor</LINK_TEXT></URL> the contracts further out...
by smithy
May 12th, 2009, 4:49 pm
Forum: Technical Forum
Topic: synthetically replicating an interest rate swap
Replies: 12
Views: 42648

synthetically replicating an interest rate swap

<t>QuoteOriginally posted by: PaperCutYeah Short Sterling or Eurodollar futures options. I would set up some kind of options trade that will do the trick. Some sort of collar or vertical spread will be cheap. You want to be a purchaser of Eurodollar puts. Buy some put spreads, preferably midcurves, ...
by smithy
May 6th, 2009, 7:50 am
Forum: Technical Forum
Topic: synthetically replicating an interest rate swap
Replies: 12
Views: 42648

synthetically replicating an interest rate swap

"Eurodollar futures options". arnt eurodollars priced in $?THANKS ALL FOR REPLIES SO FAR BTW!!!
by smithy
May 6th, 2009, 7:35 am
Forum: Technical Forum
Topic: synthetically replicating an interest rate swap
Replies: 12
Views: 42648

synthetically replicating an interest rate swap

<t>"igindex.co.uk allow you to spreadbet short sterling LIFFE futures"i can see why shorting short sterling would hedge the any ir risk, but im specifically trying to match any rise in ir with any rise in interest payments. can this be done spreadbetting??"not sure i'd be keen on rolling that for th...
by smithy
May 6th, 2009, 7:28 am
Forum: Technical Forum
Topic: synthetically replicating an interest rate swap
Replies: 12
Views: 42648

synthetically replicating an interest rate swap

"I would set up some kind of options trade that will do the trick. "thats my problem, i dont know enough about options to set up this kind of arrangement. can you give more detailed examples??
by smithy
May 6th, 2009, 7:24 am
Forum: Technical Forum
Topic: synthetically replicating an interest rate swap
Replies: 12
Views: 42648

synthetically replicating an interest rate swap

"Otherwise, you can use gilts (you can even construct a portfolio) that should allow you to hedge quite closely (there's still some basis risk that you're going to have to run)". do you mean buy 300k of gilts? can these be bough on margin and still get the same income??
by smithy
May 5th, 2009, 2:57 pm
Forum: Technical Forum
Topic: synthetically replicating an interest rate swap
Replies: 12
Views: 42648

synthetically replicating an interest rate swap

<t>I am looking to replicate a floating to fixed ir swap. the floating side is linked to the uk base rate and I would like to replicate the income cash flows on future interest rate movements (effectively fixing the rate) for the next 10 years. It hasn't got to be exact, just a rough hedge that will...