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by Padaiu
May 8th, 2020, 7:55 am
Forum: Trading Forum
Topic: New issuance swap
Replies: 0
Views: 8335

New issuance swap

Hi Im wondering about the mechanics of a new issue swap for say an issuer who issues 1b of debt and wants to swap his fixed rate exposure to floating. In practice what fixed rate does the swap dealer use for the swap? And how does it compare to whats called reoffer yield (ie the rate thats called in...
by Padaiu
April 22nd, 2020, 1:32 pm
Forum: General Forum
Topic: Why do bond investor use par-par asset swap ?
Replies: 3
Views: 4476

Why do bond investor use par-par asset swap ?

Im trying to understand how it works in practice since the investor buys the bond at whatever price it is issued at (which is not price) then im trying to understand why they would par-par asset swap it, and what the economics and rationale of the trade are. Thanks!
by Padaiu
April 22nd, 2020, 1:14 pm
Forum: Trading Forum
Topic: Relationships 5s30s curve and 5s30s Swap Spread curve in USD
Replies: 0
Views: 6820

Relationships 5s30s curve and 5s30s Swap Spread curve in USD

Hi  It is generally observed (maybe not so last month) that 5y-30y Swap Spread curve flattens when the 5s30s curve steepen in USD.  That relationship has held true over the recent past, outside of episodes of strong receiving of swaps in the long end. Is there a fundamental explanation for that rela...
by Padaiu
October 8th, 2018, 8:21 pm
Forum: Trading Forum
Topic: Swap Portfolio returns
Replies: 1
Views: 8992

Swap Portfolio returns

Hi Im trying to figure out the daily return of an IRS portfolio. What returns shall we use : log returns or arithmetic returns?  How to deal with negative values for log returns, when the Swap strategy I am trying to evaluate goes from positive value today to negative value? Any advice? The aim is t...
by Padaiu
September 6th, 2018, 9:41 am
Forum: Trading Forum
Topic: scanning the IRS curve
Replies: 1
Views: 4551

scanning the IRS curve

Hi
basic question in IRS trading, what do you think are good ways to screen the curve systematically, make sure you identify the best point to go long or short? Is Z-score relevant enough, what is commonly used out there ?

Thanks!
by Padaiu
May 21st, 2013, 11:57 am
Forum: Trading Forum
Topic: inflation swaps
Replies: 2
Views: 8368

inflation swaps

Hican someone explain how inflation swaps are quoted ?what does the quote mean ? any example maybe ? for exple US 5y5y looks like quoting around 0.4637, what does it mean ?thanks all
by Padaiu
April 15th, 2013, 10:57 am
Forum: Trading Forum
Topic: Very Long dated swaps pricing
Replies: 7
Views: 14175

Very Long dated swaps pricing

Can you explain the convexity effect this far out the curve ? Whats the rationale there ?
by Padaiu
April 11th, 2013, 2:58 pm
Forum: Student Forum
Topic: How do you work out quickly a swap sensitivity using discount factors ?
Replies: 4
Views: 8227

How do you work out quickly a swap sensitivity using discount factors ?

So in practice you ve got 5y swap in 100mio, how do you work out it s about 50k/bp sensitivity ?
by Padaiu
April 11th, 2013, 2:00 pm
Forum: Student Forum
Topic: How do you work out quickly a swap sensitivity using discount factors ?
Replies: 4
Views: 8227

How do you work out quickly a swap sensitivity using discount factors ?

How do you work out quickly a swap sensitivity using discount factors ?Is it possible at all ?
by Padaiu
October 16th, 2011, 12:38 pm
Forum: Student Forum
Topic: IR risk in cross currency swaps
Replies: 1
Views: 17447

IR risk in cross currency swaps

Consider q regulqr cross currency basis swap ie floating currency 1 vs floating currency 2.Considering fixings on both legs are floating is there any interest rate risk on each leg of the swap ?Looks like there is still a risk of fixing blowing up one way or the other ...
by Padaiu
October 16th, 2011, 12:22 pm
Forum: Student Forum
Topic: (cross currency) negative basis and CIP
Replies: 2
Views: 18543

(cross currency) negative basis and CIP

<t>If you can get some USD funding at LIBOR or sub LIBOR level and you can get sufficient amounts to funds your USD denominated assets, then you can arbitrage the market and get some really cheap EUR funding taking advantage of the very negative EURUSD basis. The question is : can you get USD at LIB...
by Padaiu
January 3rd, 2011, 6:42 pm
Forum: Student Forum
Topic: Leverage effect in Forward Swaps
Replies: 4
Views: 25738

Leverage effect in Forward Swaps

Points 2- 3- and 4- are perfectly clear to me now. Thanks Martinghoul.Can you develop the first point though ? (or maybe bilbo1408 can do so )It is not clear to me yet.Thanks for the help!
by Padaiu
January 2nd, 2011, 4:31 pm
Forum: Trading Forum
Topic: Cross Currency Basis Swap
Replies: 1
Views: 27873

Cross Currency Basis Swap

<t>Hi there,When trading cross currency basis swap, convention is usually to trade foreign currency + basis against USD flat.However this basis value itself is different when you look at it on foreign currency term or in USD terms and I am unsure about where this is (computationally) exactly coming ...