SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 37 matches

by archlight
October 20th, 2012, 7:05 am
Forum: General Forum
Topic: pairs trading platform
Replies: 2
Views: 10605

pairs trading platform

Arbmaker is a platform for pair traders, and it incorporates software for cointegration tests, has integrated data feed from many vendors, and allows automated order submission to Interactive Brokers. Neural networks and Kalman filter are also included.
by archlight
July 25th, 2012, 7:46 am
Forum: General Forum
Topic: bond pricing details in IRS
Replies: 7
Views: 11942

bond pricing details in IRS

<t>QuoteOriginally posted by: acastaldoQuotefor EUR IRS, bonds [spread] details did grey-outIt makes sense to compare USD swap rates to USTR bond yields (the swapspread)But you want to compare EUR swap rates to what? Bunds, Greek Bonds, ... . Each of the 17 govt bond markets has a different swapspre...
by archlight
July 24th, 2012, 7:28 am
Forum: General Forum
Topic: bond pricing details in IRS
Replies: 7
Views: 11942

bond pricing details in IRS

<r>maybe I should say data is not from real trading details. I have changed that. I am not working on desk so I have no access to real data. by searching previous threads <URL url="http://www.wilmott.com/messageview.cfm?catid=3&threadid=62119&FTVAR_MSGDBTABLE="><LINK_TEXT text="http://www.wi...
by archlight
July 24th, 2012, 6:28 am
Forum: General Forum
Topic: bond pricing details in IRS
Replies: 7
Views: 11942

bond pricing details in IRS

I saw IRS comes with Bonds supplements like Pricing Bond Details Swap spreadBond: Qty: USD.OTR.2Y 80%USD.OTR.5y 60%data are not real so it might not make sense. but generally what is this for? Is it to specify certain bond for discounting?
by archlight
July 17th, 2012, 12:41 pm
Forum: Careers Forum
Topic: your advice for my interview at BNPP, appreciated
Replies: 18
Views: 13656

your advice for my interview at BNPP, appreciated

<t>Today's interview goes well. @Anomanderis is right. It is from IT support perspective that they put FX and rates together. One thing I like most they are gonna to move vba tool to python based and there will be chance working with quant team in terms of deployment and release. It might not be gla...
by archlight
July 16th, 2012, 1:48 pm
Forum: Careers Forum
Topic: your advice for my interview at BNPP, appreciated
Replies: 18
Views: 13656

your advice for my interview at BNPP, appreciated

QuoteNo -- if the bank is a net payer of a particular Libor on a given day, say $80 billion notional, then lowering the thing, say 0.5 bp on that day is definitely worth it. Do the arithmetic. True. I underestimate size of entire portfolio.
by archlight
July 16th, 2012, 11:50 am
Forum: Careers Forum
Topic: your advice for my interview at BNPP, appreciated
Replies: 18
Views: 13656

your advice for my interview at BNPP, appreciated

The interview was rescheduled to tomorrow as interviewer couldn't get though my phone. so it is hanging in my throat and I am frustrated by such anxiety. I hope it doesn't pose any bad image on interviewer.
by archlight
July 14th, 2012, 4:34 pm
Forum: Careers Forum
Topic: your advice for my interview at BNPP, appreciated
Replies: 18
Views: 13656

your advice for my interview at BNPP, appreciated

I just learned a new term called PnL explained which seems relevant to the job
by archlight
July 14th, 2012, 5:04 am
Forum: Careers Forum
Topic: your advice for my interview at BNPP, appreciated
Replies: 18
Views: 13656

your advice for my interview at BNPP, appreciated

<t>QuoteOriginally posted by: AnomanderisI know application support. It's level 2 work (level 1 is helpdesk, 2 is application support, 3 is programming.) Basically, you will support the applications they use on a daily basis. For IRD, that will be mainly batch jobs and flow issues. A few trade captu...
by archlight
July 14th, 2012, 5:00 am
Forum: Careers Forum
Topic: your advice for my interview at BNPP, appreciated
Replies: 18
Views: 13656

your advice for my interview at BNPP, appreciated

<t>QuoteOriginally posted by: liam"Ensure accurate and reliable Risk and P/L delivery to the business on a daily basis" means providing dashboard analytics data (overall mark to market positions, greeks, biggest movers), a standard market risk duty. In my first role I did that as part of a quant rol...
by archlight
July 14th, 2012, 4:45 am
Forum: Careers Forum
Topic: your advice for my interview at BNPP, appreciated
Replies: 18
Views: 13656

your advice for my interview at BNPP, appreciated

QuoteOriginally posted by: lexingtonQuoteI am not sure how to achieve that and what kind of questions I would anticipate from traders? where do I gain that insight?get some Tetestosterone shots before the interview. you will be in sync with them.Haha, the interviewer is gonna to be lady.
by archlight
July 14th, 2012, 4:42 am
Forum: Careers Forum
Topic: your advice for my interview at BNPP, appreciated
Replies: 18
Views: 13656

your advice for my interview at BNPP, appreciated

<t>QuoteOriginally posted by: ElysianEagleif you're doing trade support does that mean you're actually going to be writing analytics code? where i work we have totally separate teams that do the modelling work, the trade support guys do basically boring work which amounts to not much more than locat...
by archlight
July 14th, 2012, 4:33 am
Forum: Careers Forum
Topic: your advice for my interview at BNPP, appreciated
Replies: 18
Views: 13656

your advice for my interview at BNPP, appreciated

<t>QuoteOriginally posted by: AlanStandard question from traders: "Suppose you need to move 3-month USD Libor by 0.2 bp from yesterday's fixing? How much do you alter your submission?" By moving 3-month libor it only significantly affects one payment period. it isn't equivalent to shift entire forwa...
by archlight
July 13th, 2012, 4:13 pm
Forum: Careers Forum
Topic: your advice for my interview at BNPP, appreciated
Replies: 18
Views: 13656

your advice for my interview at BNPP, appreciated

<t>I have an interview coming up next Monday for IRD application support role at BNPP - not sure if that it into trade support category. I really want the role as it will be my career breakthrough from trade processing to analytics side. for the past 2 years I taught myself derivatives pricing by ta...
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