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by frattyquant
June 9th, 2013, 8:37 am
Forum: Trading Forum
Topic: Swap/Swaptions Trading for Dummies
Replies: 32
Views: 26387

Swap/Swaptions Trading for Dummies

<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 ...
by frattyquant
May 30th, 2013, 10:07 am
Forum: Trading Forum
Topic: Swap/Swaptions Trading for Dummies
Replies: 32
Views: 26387

Swap/Swaptions Trading for Dummies

That is indeed a great reference, I wouldn't recommend reading it through :-). Thanks!
by frattyquant
February 25th, 2013, 2:43 pm
Forum: Technical Forum
Topic: SABR-backfilling history of parameters
Replies: 1
Views: 8370

SABR-backfilling history of parameters

You could calibrate less frequently, so do calibrations only once a month for example and fill in the missing dates later.
by frattyquant
January 23rd, 2013, 11:17 am
Forum: Trading Forum
Topic: Front End of a IRS Projection Curve
Replies: 10
Views: 10761

Front End of a IRS Projection Curve

<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...
by frattyquant
January 21st, 2013, 8:54 am
Forum: Trading Forum
Topic: Front End of a IRS Projection Curve
Replies: 10
Views: 10761

Front End of a IRS Projection Curve

<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...
by frattyquant
January 21st, 2013, 8:53 am
Forum: Trading Forum
Topic: Front End of a IRS Projection Curve
Replies: 10
Views: 10761

Front End of a IRS Projection Curve

<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...
by frattyquant
January 16th, 2013, 9:18 am
Forum: Trading Forum
Topic: Front End of a IRS Projection Curve
Replies: 10
Views: 10761

Front End of a IRS Projection Curve

Well I would argue that the DV01 on my projection curve is not sensitive to today (although my DV01 to the discount curve is).
by frattyquant
January 15th, 2013, 7:56 pm
Forum: Trading Forum
Topic: Front End of a IRS Projection Curve
Replies: 10
Views: 10761

Front End of a IRS Projection Curve

<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...
by frattyquant
January 15th, 2013, 10:50 am
Forum: Trading Forum
Topic: Front End of a IRS Projection Curve
Replies: 10
Views: 10761

Front End of a IRS Projection Curve

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?
by frattyquant
December 23rd, 2012, 11:58 am
Forum: General Forum
Topic: Post crisis financial innovations in the banking industry
Replies: 16
Views: 11170

Post crisis financial innovations in the banking industry

<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...
by frattyquant
December 20th, 2012, 12:12 pm
Forum: General Forum
Topic: Post crisis financial innovations in the banking industry
Replies: 16
Views: 11170

Post crisis financial innovations in the banking industry

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
by frattyquant
November 24th, 2012, 2:09 pm
Forum: Careers Forum
Topic: Sales Fixed Income Assistant
Replies: 6
Views: 10180

Sales Fixed Income Assistant

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
by frattyquant
August 17th, 2012, 1:24 pm
Forum: Trading Forum
Topic: Selling vol for a yield pickup
Replies: 3
Views: 11527

Selling vol for a yield pickup

Seems like they missed some great levels to sell at!
by frattyquant
August 16th, 2012, 5:59 am
Forum: Trading Forum
Topic: Selling vol for a yield pickup
Replies: 3
Views: 11527

Selling vol for a yield pickup

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.
by frattyquant
August 10th, 2012, 7:13 am
Forum: Technical Forum
Topic: VBA code for bloomberg data pull
Replies: 5
Views: 13532

VBA code for bloomberg data pull

<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 ...
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