<t>Hi dkorsunsky,had sent you a pm earlier. What are you trying to incorporate: the 3s6s basis spread curve or the vol spread to market caps (which are v/s 6s for > 2yr maturities) when pricing caps/floors v/s 3mth Euribor that has to be applied even after incorporating that 3s6s basis spread to the...

<t>My opinion is that the Risk rankings aren't that good.Mostly they indicate the most active trading desks in those areas. Not the most profitable. It's very obvious in MBS issuance for example (in which many deals are done at a loss for league table rankings) and CMOs (veteran traders often look a...

<t>as far as the the gamma position not filtering through the risk, i cannot imagine that this is possibleHere, I'm not talking about the gamma pos on the swap (which always filters into the swap dealer's p&l), but rather the fact that when futures rally, the ops group invests the gain on a long...

<t>not sure why u think reset risk or futures interpolation would be problematic: one would mostly use a 1yr red June IMM swap to achieve this. One US bank has already done about 50 yards of receiving on that swap in the past month and a half, possibly to achieve the same.there's more to it, though....

for example the 2y theoretical adjustment in USD is usually around 1.25 bps but swaps in the market usually trade 0.75 under the stripwhy do you think this happens?

<t>You mentioned that some middle / back offices have this faulty system for valuing the book that generates erroneous short-dated fwds as one gets closer to the IMM roll (I'm saying middle / back office because I can't believe that the trader does not know what the 'true price' is). But in your lat...

<t>as I thought, the large changes in fwd rates you're talking about happens in books with archaic methods of marking the short end and IF the aim is market making / hedging & not short end prop trading, possibly the massive p/l swings occur because of lazy swap traders not hedging out the real ...

<t>posted by Johnself11:are you refferring to the massive p/l swings that tend to happen in interest rate swap books on the day of the imm roll? if so i can explain this very comprehensively.... let me know what p/l swings are you talking about? is this any artifact of (i) some methods of creating a...

Posted by Tachyon100 in May04:Can anyone tell me if interest rate swaps contain an element of "carry", like cash bonds do? So Tachyon100, are/were u a senior fixed income prop trader?

http://www.totemvaluations.com/

<t>practically, it isn't as simple to do as one would expect. the adjustment is fairly sensitive to the correlation between the fwd and the discount factor and a slightly different assumption in the correlation calc method would yield in a very different price (given the bid / offer spread in the sw...

<r>Visit the smallest sovereign state in the world (no, not the Vatican but the Sovereign Military Order of Malta) preferably at dusk and peek through the Villa Malta keyhole for an amazing view.I recommend roman odyssey (<URL url="http://www.romanodyssey.com">www.romanodyssey.com</URL>) as tour gui...

http://www.netcomuk.co.uk/~vaillant/proba/convex.pdf

<t>I am conflicted between agreeing and disagreeing with this. From an earlier post in the careers forum, there was talk about an MBA that is concentrated in quant finance which would be qualified for positions in risk management. Personally, I have worked with a lot of MBA types in trading/risk mgm...

<t>I've chosen the right day to attempt to become the sacrificial lamb on this forum.IMO for trading / research / risk management, an MBA is an utter waste of 2 years, money and opportunity costs. Probably applies for most areas in capital markets other than sales and some kinds of structuring roles...