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by rickyvic
April 3rd, 2012, 11:57 am
Forum: General Forum
Topic: Exact mechanics of an FX Swap
Replies: 7
Views: 21192

Exact mechanics of an FX Swap

I found the fx exposure to be very small, for my purposes, buy side, not worth making an unmatched swap, not sure if it is liquid too.
by rickyvic
December 2nd, 2011, 11:40 am
Forum: Trading Forum
Topic: FX Swaps carry and mk2mkt question
Replies: 1
Views: 18090

FX Swaps carry and mk2mkt question

<t>In fact 1) does not make senseWhat you rec/pay is the forward premium. Now deviation between interest differentials and forward premium must reflect counterparty risk and bidoffer in money markets.Periods of turmoil must be disruptive for the fair price.2) it should be first difference of forward...
by rickyvic
November 22nd, 2011, 7:56 pm
Forum: Trading Forum
Topic: stop loss
Replies: 8
Views: 17571

stop loss

<t>In my view stop losses should be used in trading rules only when something unexpected happens, i.e. departing from the backtest assumptions. Otherwise it is good practise to include the stop loss reaction in a risk management system.Some say stop loss is necessary some say does not work, includin...
by rickyvic
November 22nd, 2011, 5:38 pm
Forum: Trading Forum
Topic: FX Swaps carry and mk2mkt question
Replies: 1
Views: 18090

FX Swaps carry and mk2mkt question

<t>Hi guys I understand this is a very basic question. 1) How do you calculate the carry in a FX swap (say 3m forward vs spot)?At time t0 parties exchange currencies At time t1 (in 3 months) parties receive 3m libor differential (in a perfect world) -> i(3m)* - i(3m)Now why is the carry received the...
by rickyvic
September 28th, 2011, 11:53 am
Forum: Trading Forum
Topic: minimizing impact of transaction costs
Replies: 1
Views: 17436

minimizing impact of transaction costs

<t>I am new to short term intraday strategies 1min-5mins.My issues:1) I was interested in learning how to reduce the impact of trading costs (mainly bid-offer, do not count slippage for now) given a return forecast.2) I also find hard to get positive returns after costs even though the predictabilit...
by rickyvic
September 7th, 2011, 8:44 am
Forum: Trading Forum
Topic: Discussion about cost of trading bond futures
Replies: 0
Views: 20813

Discussion about cost of trading bond futures

<r>I thought that this forum would be more appropriate please feel free to add some comments <URL url="http://www.wilmott.com/messageview.cfm?catid=4&threadid=86329Thanks"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... 6329Thanks">http://www.wilmott.com/messageview.cfm?catid=4&...
by rickyvic
September 6th, 2011, 2:22 pm
Forum: Technical Forum
Topic: Historical orderflow data for futures
Replies: 0
Views: 18359

Historical orderflow data for futures

I found a lot of time and sales data on the internet but none of them give volume bid and offer.Any idea on vendors?
by rickyvic
September 6th, 2011, 9:32 am
Forum: Technical Forum
Topic: bidask in bond futures
Replies: 6
Views: 19305

bidask in bond futures

<t>Thanks acastaldo, I think Bund looks ok too.@Martinghoul the formula is pretty clear, ln(Pask/Pbid)/2 is the log difference between mid and ask or bid, that is the price of executing one trade.Which ones look weird? Sorry about the symbols are for internal use. The ten year treasury is a little d...
by rickyvic
September 5th, 2011, 8:29 am
Forum: Technical Forum
Topic: bidask in bond futures
Replies: 6
Views: 19305

bidask in bond futures

It must be a little illiquid CONF thanks for the heads up.My question is more: are the bidoffer numbers plausible at all?
by rickyvic
September 4th, 2011, 2:37 pm
Forum: Technical Forum
Topic: bidask in bond futures
Replies: 6
Views: 19305

bidask in bond futures

<t>hi guys I am validating a backtest of a strategy trading bond futures (us, canada, germany, switzerland, australia, japan) and I was wondering if you could help on the average bidask spread observed during normal trading hours (when cash market is opened)I came out with the following "mkt","count...
by rickyvic
July 17th, 2011, 12:02 pm
Forum: Programming and Software Forum
Topic: CQG, ID RemotePlus, etc vs building a real time DB
Replies: 2
Views: 21013

CQG, ID RemotePlus, etc vs building a real time DB

<t>Apologies for the late reply and thanks for your response.A delayed feed would not be an option.The question was about managing a database vs using an API that handles some recent time series observations.I am using CQG for now that seems to do the job well but certainly it is not amazingly fast....
by rickyvic
June 9th, 2011, 9:53 am
Forum: Programming and Software Forum
Topic: CQG, ID RemotePlus, etc vs building a real time DB
Replies: 2
Views: 21013

CQG, ID RemotePlus, etc vs building a real time DB

<t>Hello,does anybody have experience in automating trading strategies using one of these systems?I am currently building a database with a feed handler to Plusfeed and it is getting quite messy, it will take a while to make it reliable.The alternative would be not to use the DB and query the data d...
by rickyvic
June 6th, 2011, 12:43 pm
Forum: Technical Forum
Topic: CTD yield to maturity implied in bond futures prices
Replies: 6
Views: 26285

CTD yield to maturity implied in bond futures prices

<t>I sincerely apologise for not replying for all this time I lost track of this discussion for some reason.The issue is that I do not have the conversion factor as the study is on historical data.I also do not have all the underlying bonds with maturities and contract details, just a spot yield cur...
by rickyvic
May 7th, 2011, 2:18 pm
Forum: Technical Forum
Topic: CTD yield to maturity implied in bond futures prices
Replies: 6
Views: 26285

CTD yield to maturity implied in bond futures prices

<t>My question is not that straightforward as it looks like.I am referring to any bond futures price that relies on a basket of underlying bond prices of which the CTD will be the one most likely delivered.Let us assume that the futures price is So the question is:is there any way to recover the imp...
by rickyvic
May 5th, 2011, 10:38 am
Forum: Technical Forum
Topic: Estimating the likelihood of a jump process
Replies: 0
Views: 19194

Estimating the likelihood of a jump process

<t>I need to estimate the probability of a negative jump given a factor and a threshold.I do have the jumps (positive definite) estimated non-parametrically so this is given. Given is also the lagged factor/predictor for a jump I need to estimate the likelihood of a jump given a threshold factor and...
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