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by quanteric
March 12th, 2020, 1:16 pm
Forum: Technical Forum
Topic: Bloomberg Curve Stripping with IMM FRAs
Replies: 3
Views: 5406

Re: Bloomberg Curve Stripping with IMM FRAs

Hi pcaspers.  I have been trying to figuring out how Bloomberg implies the 1-5m cash rates for their 6M EUR curve, but without any success.  I can get close to iit, but not sufficiently close to fully reproduce their calculations.  I am wondering if you have any insights that you can share with us? ...
by quanteric
June 19th, 2018, 8:37 am
Forum: Technical Forum
Topic: USD curve trades
Replies: 4
Views: 972

Re: USD curve trades

Thank you very much for your reply Martinghoul.  I am wondering if I can pick your brain further... 1. What would be an acceptable error for the butterfly?  Within 1 bp?  Or less? 2. Currently I am building the USD curve with 3M Libor, then the next twelve HMUZ Eurodollar futures, and then swap rate...
by quanteric
June 12th, 2018, 10:55 am
Forum: Technical Forum
Topic: USD curve trades
Replies: 4
Views: 972

USD curve trades

Hi everyone, am wondering if you can help me with a little problem. I was using Bloomberg USD curves to imply out the 2-5-10 butterfly by valuing the individual swaps and took 2*5y-2y-10y as the quote. This when compared to other banks was around 3 bps out, which is higher than I expected. I tried t...
by quanteric
February 7th, 2017, 10:07 am
Forum: Technical Forum
Topic: Double barrier option pricing on Bloomberg OVML
Replies: 0
Views: 607

Double barrier option pricing on Bloomberg OVML

Hi, am wondering if you have noticed something weird on Bloomberg OVML when pricing DKOCs?  Under Black-Scholes model, the pricing result on Bloomberg is the same as the analytic formulae if spot is the same as forward, otherwise the results are different. For example, suppose we have a 3M DKO call ...
by quanteric
May 11th, 2016, 7:56 am
Forum: Technical Forum
Topic: Adjustments for meeting days in swap valuations
Replies: 0
Views: 617

Adjustments for meeting days in swap valuations

<t>Hi, I am wondering....Say I have two swaps, one starts a week after the other say. The one that starts first is receiving fix, and the one that starts later is in the opposite direction; same notionals. Suppose if we are to adjust for jumps in rates across monetary policy meeting days, would the ...
by quanteric
March 16th, 2016, 9:51 am
Forum: Technical Forum
Topic: RMB indices replication
Replies: 0
Views: 1554

RMB indices replication

<t>Hi, I am wondering if anyone have attempted replicating the three RMB indices released by CFETS in December? I seek to replicate all three and have started off with the simpler task of replicating the one with the SDR weights, and came fairly close to it, but not exact match. Am wondering if anyo...
by quanteric
February 24th, 2016, 2:07 am
Forum: Technical Forum
Topic: Question on BRL exponential yield curve interpolation.
Replies: 2
Views: 2032

Question on BRL exponential yield curve interpolation.

<t>Hi, am wondering if anyone can solve a mystery...Suppose today is 19 Feb 2016. And I have the CDI quote for Apr 2018 at 14.868 and Jul 2018 at 15.03. The respective terminal dates are 2 Apr 2018 and 2 Jul 2018, which are respectively 529 and 592 business days from today.The discount factor for 2 ...
by quanteric
December 8th, 2015, 7:58 am
Forum: Technical Forum
Topic: USD cashflow under EUR collateral
Replies: 2
Views: 2448

USD cashflow under EUR collateral

<t>Hi, I am wondering if anyone knows how we can handle USD cashflow under EUR collateral? I see that the EUR cashflow under USD collateral case is well documented... (ie using EUR and USD IRSs, OISs, and USD-EUR basis), but not sure how the USD under EUR collateral case is done... Would greatly app...
by quanteric
October 20th, 2015, 2:38 pm
Forum: Technical Forum
Topic: Bond yield<->price calculation in the presence of stubs
Replies: 3
Views: 2719

Bond yield<->price calculation in the presence of stubs

<t>Hi, I am wondering if anyone is familiar with the calculation of bond yield/price under the usual "street" convention when there are stubs? Say if there is a short first coupon? I tried matching Bloomberg but could not quite match it exactly... Say if the next coupon date t2 is the stub payment, ...
by quanteric
August 19th, 2015, 1:05 am
Forum: Technical Forum
Topic: Yield curve with policy meeting dates
Replies: 2
Views: 2949

Yield curve with policy meeting dates

<t>Hi guys, I am wondering if I can pick your brains...Am looking at how we can incorporate forthcoming monetary policy meeting days expectation into yield curves. I know of three ways so far:1. For currencies with OIS markets. We build the OIS curve with the overnight index held constant between me...
by quanteric
April 2nd, 2015, 1:53 am
Forum: Technical Forum
Topic: Jarrow-Yildirim inflation model: strange observation.
Replies: 3
Views: 13776

Jarrow-Yildirim inflation model: strange observation.

Hi, here is an example: an 0.03, sn 0.01, ar 0.0446314, sr 0.0175392, si 0.0160384, rho(nr) 0.370196, rho (ri) 0.912015, rho (ni) -0.99999, t 0.906849. The variance you get would be slightly negative and this is attributed to the rho(ni) value.....
by quanteric
March 10th, 2015, 1:44 am
Forum: Technical Forum
Topic: Inflation swap convention
Replies: 1
Views: 3149

Inflation swap convention

<t>Hi guys, have a question on inflation swap market convention.....As you may know, inflation swaps on the EU and UK index are monthly interpolated. This means that for a, say, 5y swap, that starts any day in March, under the standard 3 month lag, it would reference the December index of the previo...
by quanteric
January 26th, 2015, 7:35 am
Forum: Technical Forum
Topic: Question on yield curve
Replies: 7
Views: 4901

Question on yield curve

<t>Hi, am wondering if I can pick your brains. Suppose we switch from a contiguous FRA curve to a serial curve, how would one address the front stub?Let me expand on the details.... Suppose we have a curve on a 3M index and with the follow inputs:3m deposit, 3x6 FRA, 6x9 FRA, 1y Swap, etc...., build...
by quanteric
October 8th, 2014, 5:45 am
Forum: Technical Forum
Topic: Zero-coupon inflations wap accrued interest
Replies: 3
Views: 3907

Zero-coupon inflations wap accrued interest

<t>Hi, I am wondering if anyone knows how the accrued interest for the inflation leg of zero-coupon inflation legs are defined?Say I have a 5y ZC inflation swap on the EU index, going from 4 Sep 2014 to 4 Sep 2019.Under the standard convention, the base of the swap is 117.57, and supposed valuation ...
by quanteric
July 28th, 2014, 3:57 am
Forum: Technical Forum
Topic: Portfolio concentration risk
Replies: 2
Views: 4339

Portfolio concentration risk

<t>Hi, I am wondering, suppose we have a portfolio of various assets..., bonds, stocks, currencies, derivatives etc... Is there a standard approach to measuring the concentration risk of each asset? If we are to impose a position limit on each asset, how would you define and enforce it in an objecti...
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