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by kfcnhl
March 30th, 2020, 12:31 am
Forum: Student Forum
Topic: Fixed income management problem
Replies: 0
Views: 6516

Fixed income management problem

First of all, hope everyone is safe and sound. I would like to describe the following scenario and my thinking Welcome any comments on my thought process!!! 3 swaps outstanding 1. Pay fixed 100mln, maturing Dec 2025, old swap entered back in 2015 with high coupon (~4%) 2. Rec fixed 100mln, maturing ...
by kfcnhl
December 5th, 2019, 9:25 pm
Forum: Student Forum
Topic: Repo risk
Replies: 0
Views: 5577

Repo risk

I am trying to understand how repo traders are being measured(pnl/risk). I understand the amount of repo that can be done is limited by regulation but want to dig deeper on how the performance is measured. For long term repo of 1 week to 3 months, I understand there is market risk and pnl. What inst...
by kfcnhl
November 30th, 2018, 12:59 pm
Forum: Student Forum
Topic: SOFR discounting
Replies: 3
Views: 11939

SOFR discounting

Feels like a silly question:

The LCH cleared swaps market is discounted by OIS curve based on daily FF.
This is because of the collateral can be invested at the FF rate.
Why wouldn't it be discounted at SOFR(assuming such curve exist)?
Isn't it closer to the risk free rate?

Many Thanks,
Fish
by kfcnhl
November 27th, 2017, 2:47 pm
Forum: Student Forum
Topic: Newbie questions on bond futures
Replies: 2
Views: 2410

Newbie questions on bond futures

Our trader just bought some CNZ7s and sold some CNH8s. CNZ7 - dec 17 10 year gov bond CNH7 - mar 18 10 year gov bond Could someone help to explain the trade in terms of: 1. what is the bet? 2. what are the risks? If there are any papers I should read, please help to point me in the right direction. ...
by kfcnhl
February 22nd, 2017, 1:34 am
Forum: Student Forum
Topic: Newbie bond arb question
Replies: 3
Views: 869

Newbie bond arb question

Buy 10 year treasury financed by simultaneous repo Swap 10 year treasury bond based on 10 year swap rate and receive 3 month float. Since 10 year treasury was higher than 10 year swap rate, you have a positive carry on the whole. As the 10 year gov/swap narrow in recent month, I think the trade abov...
by kfcnhl
September 24th, 2016, 1:46 pm
Forum: Student Forum
Topic: Newbie question about break-even inflation
Replies: 3
Views: 1072

Newbie question about break-even inflation

Why we are looking at 5y5y breakeven rate for the most part?
Why not just the 10y breakeven rate?

If you have any papers to share, it will be great as well.

Thanks,
KFC
by kfcnhl
June 10th, 2016, 1:17 pm
Forum: Student Forum
Topic: par/par swap and yield/yield swap
Replies: 2
Views: 712

par/par swap and yield/yield swap

zhengchenji18 @ gmail.comThank you Sir
by kfcnhl
June 10th, 2016, 1:13 pm
Forum: Student Forum
Topic: par/par swap and yield/yield swap
Replies: 2
Views: 712

par/par swap and yield/yield swap

<t>Hi, I understand that in the case of a par/par swap you will receive/pay a premium on trade date. For yield/yield swap, you don't have to pay anything. For par/par swap you are matching the coupon payment. For yield/yield swap you have a bigger spread (fixed payment) that is not swapped off. ques...
by kfcnhl
March 9th, 2016, 7:06 pm
Forum: Student Forum
Topic: US swap spread
Replies: 17
Views: 3093

US swap spread

I got your point.For DV01 calculation,swap curve isn't so bad.Of course, for pricing, it is way off.Thanks,Fish
by kfcnhl
March 8th, 2016, 3:28 pm
Forum: Student Forum
Topic: US swap spread
Replies: 17
Views: 3093

US swap spread

<t>Well, I am not sure what traders are using.I know insurance software and ALM software are using swap curve to calculate.Even if I keep my spread constant, how can I be self-consistent?The DV01 number is going to be different when I choose different curve to discount.I don't think I can even use s...
by kfcnhl
March 8th, 2016, 11:46 am
Forum: Student Forum
Topic: US swap spread
Replies: 17
Views: 3093

US swap spread

I agree, but as far as I know, all the models are base on swap curve.That means everyone is overestimating the price of securities and underestimating risk?This sounds a bit scary.
by kfcnhl
March 7th, 2016, 9:20 pm
Forum: Student Forum
Topic: US swap spread
Replies: 17
Views: 3093

US swap spread

<t>OK guys, I have look over some of the posts earlier.I have a different perspective on this problem given that I work in ALM at a bank.What would be the correct discount curve to use?Everywhere I see, the swap curve is the discounted curve with some bootstrap.Let's say to price a 10 year treasury ...
by kfcnhl
March 4th, 2016, 11:28 pm
Forum: Student Forum
Topic: US swap spread
Replies: 17
Views: 3093

US swap spread

<t>Hi Guys, I am having trouble understanding why US swap/GOV spread could be negative for 5 year onward. How can the credit quality of banks be more than US government? I know this have been going on for a while now but I haven't found any satisfactory response online. Comments? Thanks!Fish </t>
by kfcnhl
October 21st, 2015, 12:09 pm
Forum: Student Forum
Topic: Range of accuracy on VaR simulations
Replies: 7
Views: 2577

Range of accuracy on VaR simulations

Thanks guys. All the responses are very useful.The question is really is how much simulation can people do?1000 is already a high number for a large book.=> majority of the VaR numbers people produce is completely useless...
by kfcnhl
October 13th, 2015, 12:53 am
Forum: Student Forum
Topic: Range of accuracy on VaR simulations
Replies: 7
Views: 2577

Range of accuracy on VaR simulations

<t>Hi Guys, I am trying to understand the difference between a 1000 paths vs 1000000 paths monte carlo simulation in terms of VaR analysis. How much of an accuracy improvement do we get from getting the 0.5% VaR number for 1000 path vs 1 million paths? Is there a confidence interval of what the numb...