<t>QuoteOriginally posted by: MartinghoulQuoteOriginally posted by: bonronThanks MG!Do you have any literature on this?Or may be a more complete list?It would really help!No real literature on this, tbh... Not AFAIK. Maybe someone else could chime in?Net vega + dv01 per bucketOf your you are always ...

That is indeed a great reference, I wouldn't recommend reading it through . Thanks!

You could calibrate less frequently, so do calibrations only once a month for example and fill in the missing dates later.

<t>QuoteOriginally posted by: DavidJNIf there were liquid futures you could solve for the stub rate (i.e. the zero rate/discount factor at the start of the near future) such that, when interpolated with the rate/discount factor at the end of the near future (which follows trivially once the stub rat...

<t>QuoteOriginally posted by: jhpremember that a fixing in 7 days time is between spot and one week .. most interpolated curves will give it some sensitivity to your "overnight" input as used in your 6s curve .. the point about putting a shorter tenor into your 6s curve is as you say about fitting t...

<t>QuoteOriginally posted by: DavidJN The main issue is that one can no longer pretend that LIBOR is risk free and, accordingly, the are credit/liquidity (or whatever you want to call them) premia in floating rates that vary by term.David, this is of course correct, I'm taking it as a given. QuoteOr...

Well I would argue that the DV01 on my projection curve is not sensitive to today (although my DV01 to the discount curve is).

<t>QuoteOriginally posted by: jhpnote that by end-of-day all today's trades should have fixed and won't be sensitive to that input, the point is you're trying to project the index fix tomorrow -- if you have a whole bunch of FRAs and futures and 3s6s spreads and 3m Depo futures like EUR does you can...

I was told by a trader that (assuming your swaps are vs 6M and you are in a dual curve framework) the first point in your projection curve should be the 6M fixing. Is anyone on here doing this?

<t>QuoteOriginally posted by: berndLwould you calculate CVA on collateralized trades? i dont think you want to. So CVA rests for non collateralized non cleared/margined deals. Therefor collateral isnt the hedge in cva calculations to be thought of. Dont you think?CVA is usually applied to one way CS...

QuoteOriginally posted by: frenchXFocusing only on quant departments in IBs, are there some new derivatives (I've heard about target volatility option) ? Swaps vs OIS - curve building has completely changed after lehman

these people book trades, coordinate with the back office, etc - the modern day equivalent of a clerk often hired by the back office (so not part of the front office).not a bad role when you are straight out of college and have nothing else in hand, but not too great otherwise

Seems like they missed some great levels to sell at!

I read a research piece recently about why vol should fall because FI managers are selling vol to enhance yeilds? Is this common ? I wouldn't have thought that too many institutional mandates would allow it, and I can't imagine that the average fund manager knows too much about selling vol.

<t>QuoteOriginally posted by: wkw[HELP][HELP] is a good start, but after a certain point along the request complexity line, the effectiveness will decrease and this will be taking a lot of time. You might be better off speaking with your the BBG account rep for your firm / desk, specifying what you ...