<t>suppose we have the ability to perfectly model vol vs. spot behavior. ie. we know exactly what the vol surface will look like for a given spot level. i can see how this is useful for a market maker but i fail to see its usefulness for a risk taker.suppose im bullish on implied vols (of a give mat...

why is the delta of a 5y10y swaption just spot starting 10y swap and not 5y forward 10y swap?

i have been reading 2 definitions of swap carry in literature. using 10y receiving as an example1) 1y carry = r(1, 9)-r(0, 10)2) 1y carry = (r(0,10)-libor fixing)/(swap dv01)which is the correct definition?a follow up question: a forward starting swap have no carry, is that correct?

<r>in the paper by Salomon Smith Barney <URL url="http://www.hughchristensen.co.uk/PaperDepository/papers/PrinciplesOfPrincipalComponents_SalomonBros.pdf"><LINK_TEXT text="http://www.hughchristensen.co.uk/PaperD ... onBros.pdf">http://www.hughchristensen.co.uk/PaperDepository/papers/PrinciplesOfPrin...

is there any good book/paper that gives the procedure to find the principle components of a given trade?

in rates we often look at ATMF, ie. ATM 3y10y payer is quoted with K=3y10y rate instead of 10y spot rate. why do people choose to view it this way rather than using 10y spot. i also want to ask the same question for equities.

<t>QuoteOriginally posted by: FlyingDutchmanMaybe a stupid remark, but how can you even be sure that it is possible to get all the pistons at the same height? Since all pistons are interconnected and moving one piston makes all the others move, I think I could imagine a system where the pistons woul...

<t>not necessarily...suppose the 1st piston is sticking out and the rest are already level. all pistons are independent. and the 1st piston is very expensive to move...it would be cheaper to raise the others rather than pushing down the first.anyhow, i was hoping for a mathematical solution rather t...

<t>in front of you are n pistons which can move up and down. consider the following:1) each piston start at some arbitrary height which you are given2) all the pistons are interconnected such that a move in one will also move the others to move. this relationship is given by the nxn matrix H.3) the ...

thanks aaron

hmm i still dont get it....the B in your example and the B in my equation do not represent the same thing

<t>Suppose i was thinking about replicating the behavior of 100 Apple stocks using x E-mini contractsmy buddy gave me this formula:Ps is the price of Apple stockQs is the number of Apple stocks, in this case 100B is beta of Apple stockPm is the price of each E-mini contractI don't understand this fo...