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by gammaslide
December 5th, 2012, 5:30 pm
Forum: General Forum
Topic: OIS curve and cross currency basis
Replies: 2
Views: 11463

OIS curve and cross currency basis

<t>If I had eonia rates out to 30yrs and wanted to convert this into USD OIS rates.Do I take the cross currency swap basis and add it to the eonia rates, not sure how to do it with different tenors for swap versus OIS?and then bootstrap to get USD OIS discount factors or boostrap first and then add ...
by gammaslide
December 5th, 2012, 5:26 pm
Forum: Trading Forum
Topic: building a market swap curve
Replies: 6
Views: 11213

building a market swap curve

anyone please?
by gammaslide
December 5th, 2012, 5:25 pm
Forum: Student Forum
Topic: Volatility skew in local volatility models
Replies: 5
Views: 10781

Volatility skew in local volatility models

any comments please, on this time-vol relationship?thanks alot
by gammaslide
December 2nd, 2012, 8:14 pm
Forum: Student Forum
Topic: Volatility skew in local volatility models
Replies: 5
Views: 10781

Volatility skew in local volatility models

<t>Alan just following on from your response, can we link it to vol being proportional to square root of time.So difference between 1y and 4y expiry..vol should be roughly double.Ok sorry this has no impact on flattening of skew..Now that I type this I realize that this is not really the emperical c...
by gammaslide
November 30th, 2012, 9:17 pm
Forum: Trading Forum
Topic: building a market swap curve
Replies: 6
Views: 11213

building a market swap curve

<t>thanks guys but rmax that was kinda my point in that the canadian central bank paper is like a very very high level theory look at this. Arent there any books resources which even come close to a swap traders curve building theory.and you raise the point, counterparty specific discount curves for...
by gammaslide
November 30th, 2012, 9:10 pm
Forum: Student Forum
Topic: normality vs lognormality rates and equities world
Replies: 4
Views: 9324

normality vs lognormality rates and equities world

<t>thanks.Zhu have to admit I'm very much on the practical side, so what do you mean by the underlying is not a martingale when the rho is positive? Also what are the applied consequences of that?I know SABRs output is simply the black vol (lognormal) which you stick into BS to give you price. What ...
by gammaslide
November 29th, 2012, 8:36 pm
Forum: Trading Forum
Topic: building a market swap curve
Replies: 6
Views: 11213

building a market swap curve

<t>hi all,These days is it safe to assume that every bank on the street using OIS discounting as standard and when they face corporates (e.g. tesco or insurance companies) they simply add a CVA charge to it.I understand that some banks have counterparty specific discount curves where there is not co...
by gammaslide
November 29th, 2012, 8:01 pm
Forum: Student Forum
Topic: normality vs lognormality rates and equities world
Replies: 4
Views: 9324

normality vs lognormality rates and equities world

<t>This is beyond basic but -In the rates world, when talking about normality and lognormality are these two unrelated discussions 1. Normalized vol means bp vol and lognormality mean percentage or proportional vol.2. Can we have normalized vol with assuming the underlying rate follows a lognormal d...
by gammaslide
October 8th, 2011, 6:40 pm
Forum: General Forum
Topic: practical and basic question on loan and swap and cross currency
Replies: 0
Views: 17151

practical and basic question on loan and swap and cross currency

<t>Hi..This is a bit of a basic question in a practical setting.If I could take a loan in euros say fixed rate at 6% (say 10 year loan semi-annual payments), how do I calculate the equivalent yield/rate in usd, (I am a company in the us, which cares about things in us dollars).I assume I need to sol...
by gammaslide
September 20th, 2011, 8:05 pm
Forum: Trading Forum
Topic: cross currency swaps with em currencies and spreads
Replies: 1
Views: 19631

cross currency swaps with em currencies and spreads

<t>Hello,Two doubts that I have. Just came across a trade. Has anyone ever heard of a bond swap spread being described as the spread between bond yield and cross -currency swap? It doesn't make sense to me.Swap spread is bond yield minus IRS.What are the other driving factors that would affect cross...
by gammaslide
September 20th, 2011, 7:50 pm
Forum: Student Forum
Topic: Pricing plain vanilla GBP interest rate swaps from many swap rates
Replies: 13
Views: 19820

Pricing plain vanilla GBP interest rate swaps from many swap rates

<t>QuoteOriginally posted by: MartinghoulYou can't use rates of different underlying terms, because they have different liquidity and risk characteristics. That means that the equations that you would normally use to calculate fwd rates, etc, don't work with inconsistent bases and will produce nonse...
by gammaslide
May 7th, 2011, 4:02 pm
Forum: Trading Forum
Topic: theta for options
Replies: 1
Views: 20507

theta for options

<t>I know there are two ways of calculating theta, one assumes business day accrual and the other is calendar day something?I'm unsure if on a Monday my theta is usually for monday plus weekend (maybe two half-days)?What method is this and is there a common approach used my ir option desks for swapt...
by gammaslide
May 7th, 2011, 3:51 pm
Forum: General Forum
Topic: Cost of shorting bond using repo
Replies: 15
Views: 25102

Cost of shorting bond using repo

<t>When traders talk about bonds, is carry just another relative value measure?I assume cost of carry is defined as cost of funding (say GC rate or repo rate) - bond yield (Accrual).So wouldn't that mean almost all bonds now have positive carry?Low rates generate demand for all assets.. In a way the...
by gammaslide
May 4th, 2011, 10:23 pm
Forum: General Forum
Topic: re-pricing of lognormality on the top-left
Replies: 1
Views: 19518

re-pricing of lognormality on the top-left

<t>Hi,About 6 months ago before this inflation started to gain some traction, we were pricing in a deflationary path ahead and as a result low strikes on the top-left part of the rate vol surface was going down sharply I assume (normalized vol going down). The more rates rally the more normalized vo...
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