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by deepdish7
July 16th, 2012, 6:51 pm
Forum: Book And Research Paper Forum
Topic: Goldman Sachs recommended reading list
Replies: 7
Views: 14555

Goldman Sachs recommended reading list

<r>What you think about it?<SCRIBD id="98494153" url="http://www.scribd.com/doc/98494153/Goldman-Sachs-Suggested-Readings-List"><URL url="http://www.scribd.com/doc/98494153/Goldman-Sachs-Suggested-Readings-List"><LINK_TEXT text="http://www.scribd.com/doc/98494153/Gold ... dings-List">http://www.scri...
by deepdish7
June 11th, 2012, 9:50 pm
Forum: General Forum
Topic: Negative Swap Spreads
Replies: 83
Views: 64483

Negative Swap Spreads

So looks like list has given up on the below?
by deepdish7
June 1st, 2012, 9:46 am
Forum: General Forum
Topic: OIS discounting collateralized swaps proof
Replies: 28
Views: 20556

OIS discounting collateralized swaps proof

<t>Well yes but then we use both curves - OIS and Rates (whatever it is, IR futures, FRAs or swaps). I had understanding from what some people below were saying, that we'd rather use some rates curve and ignore OIS curve completely, as it's less liquid. In that case I was wondering how can one come ...
by deepdish7
May 31st, 2012, 2:29 pm
Forum: General Forum
Topic: OIS discounting collateralized swaps proof
Replies: 28
Views: 20556

OIS discounting collateralized swaps proof

I am not, as nobody was able to provide any explanation on how to calculate the spread to OIS if we start from Rates and don't use OIS curve. So in the first place I don't have anything to challenge yet
by deepdish7
May 30th, 2012, 6:56 pm
Forum: General Forum
Topic: OIS discounting collateralized swaps proof
Replies: 28
Views: 20556

OIS discounting collateralized swaps proof

<t>QuoteOriginally posted by: pimpelI am not a market expert and never did a single trade, but to my knowledge, IR futures are the most liquid instruments on this planet, that is why I would set up projection curve based on those rates, and all the other curves as spread to this curve to omit proble...
by deepdish7
May 29th, 2012, 9:51 pm
Forum: General Forum
Topic: OIS discounting collateralized swaps proof
Replies: 28
Views: 20556

OIS discounting collateralized swaps proof

<t>QuoteOriginally posted by: pimpelQuoteOriginally posted by: deepdish7QuoteOriginally posted by: pimpelProjection curves are stripped from IR futures and IRS rates assuming discounting with OIS. The way you strip forwards is to make sure, that your IRS value dealt at market rate is nil.this is wha...
by deepdish7
May 28th, 2012, 4:59 pm
Forum: General Forum
Topic: JP Morgan- 2 billion trade loss
Replies: 121
Views: 21210

JP Morgan- 2 billion trade loss

So gamma trading means "hedging" for you either???
by deepdish7
May 28th, 2012, 7:00 am
Forum: General Forum
Topic: OIS discounting collateralized swaps proof
Replies: 28
Views: 20556

OIS discounting collateralized swaps proof

<t>QuoteOriginally posted by: pimpelProjection curves are stripped from IR futures and IRS rates assuming discounting with OIS. The way you strip forwards is to make sure, that your IRS value dealt at market rate is nil.this is what I would imagine in the first place (or using FRAs for projecting as...
by deepdish7
May 27th, 2012, 8:31 pm
Forum: General Forum
Topic: OIS discounting collateralized swaps proof
Replies: 28
Views: 20556

OIS discounting collateralized swaps proof

<t>QuoteOriginally posted by: ancastQuoteOriginally posted by: deepdish7i'd rather ask, why OIS are now used for projection curves. This does not make just any sense to me (whereas using OIS for discounting makes full sense)projection curves - I mean in an interest-rate swap with 3M LIBOR quarterly ...
by deepdish7
May 27th, 2012, 9:11 am
Forum: General Forum
Topic: OIS discounting collateralized swaps proof
Replies: 28
Views: 20556

OIS discounting collateralized swaps proof

<t>i'd rather ask, why OIS are now used for projection curves. This does not make just any sense to me (whereas using OIS for discounting makes full sense)projection curves - I mean in an interest-rate swap with 3M LIBOR quarterly floating payments. why the hell is the new general approach today to ...
by deepdish7
May 25th, 2012, 8:18 pm
Forum: General Forum
Topic: JP Morgan- 2 billion trade loss
Replies: 121
Views: 21210

JP Morgan- 2 billion trade loss

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: deepdish7Quotethis was not the cpty hedging desk ... this is the CIO. the invest the firms assetsexactlyexactly what ? How is this the same as counterparty exposure management ?exactly that it didn't have anything to do with hedging. ...
by deepdish7
May 25th, 2012, 4:20 am
Forum: General Forum
Topic: JP Morgan- 2 billion trade loss
Replies: 121
Views: 21210

JP Morgan- 2 billion trade loss

Quotethis was not the cpty hedging desk ... this is the CIO. the invest the firms assetsexactly
by deepdish7
May 24th, 2012, 3:59 pm
Forum: General Forum
Topic: JP Morgan- 2 billion trade loss
Replies: 121
Views: 21210

JP Morgan- 2 billion trade loss

<t>QuoteOriginally posted by: bearishQuoteOriginally posted by: looooooMaybe I'm the only one not getting it right, but please kindly help me understand this issue...I read from an article it was supposed to be a hedge while the WSJ article someone posted the link to says it's not an hedge. If JPM i...
by deepdish7
May 23rd, 2012, 12:32 pm
Forum: General Forum
Topic: JP Morgan- 2 billion trade loss
Replies: 121
Views: 21210

JP Morgan- 2 billion trade loss

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: deepdish7Well this "bundling" should also be regarded as prop trading then, if the dealer ends up with residuals on its balance sheet. but it doesn't mean that all CMO CDO and MBS should be banned, it's a wrong logicwe can disagree on...
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