Thank you.That makes a little more sense...So it's a 10YR straddle long put(call) on 6M LIBOR paying annually against a long call(put) on 6M LIBOR paying semi, struck at 2.70

<t>I am looking at a examples of cleared interest rate trades and came across this... 10Y 6M LIBOR 12M 30/360 vs 6M 6M ACT/360 STRADDLE 2.70Can you help dissect the shorthand?My guess: 10yr swap 6M LIBOR paying annually 30/360 against paying 6M LIBOR semiannual act/360, with a straddle overlay struc...

Thank you for the explanation. Now I understand some notation that I have seen. i.e.b(maturity) = b(settlement)*b(maturity-settlement)

<t>I am able to construct a yield curve bootstrap and calculate spot discount factors. But, I am having trouble going the other way...I am wanting to calculate the implied discount factors from a given forward curve. I have tried solving for each discount factor but that doesn't get me there.Also, I...

<t>Thanks, that was my thinking as well...that you would choose to do all or nothing. I have worked on incorporating a prepayment model into the valuation as the amount of my prepayment estimate reduces the notional amount of the swaption. I just didn't know if there was a way to model an unknown pa...

<t>Well from a pure economic standpoint I agree. However, assume I am hedging variable rate bonds that are subject to some sort of prepay (mortgage in my case) and only 60% of the swaption is exercised because only 60% of my bonds are prepayed. Now I wouldn't terminate more or less than my prepay am...

That is correct. you could exercise 60%, arbitrarily chosen number, of each of the swaption pieces or you could exercise all or none of the options.

<t>Thank you for your response.It could be modeled as 4 Bermudan swaptions. Each of the options may be exercised on any date after the effective date of 9/2014, i.e. the options overlap rather than being a series as you suggested. The main difference and the reason why I am having trouble valuing th...

<t>I am wondering if anyone has experience valuing interest rate swaptions that hedge mortgage prepay bonds. The IR swaption I am working on valuing has a series of 4 optional notional reduction amounts (see notional schedule below). I am long the option to terminate; each of the optional notional r...

<t>I do have most of the data, 1Y CDS spread back to 2007 and the individual 1M Libor Submissions. I have begun regressing the 1M Libor submission against the respective CDS spread and I am also looking into the 1M Libor submission versus the Actual Libor Rate looking at the var., distribution and R...

<t>My specific example would not prove manipulation, however that Bank A's libor submission was accurate. However, if Bank A's CDS spread did not change, but their Libor submission (i.e. cost of borrowing based on Bank A's credit) increased or decreased significantly, then one would wonder why their...

No it is not. Thankfully I am done with school, but I was generally thinking how one would prove a banks involvement and extent of Libor manipulation.

<t>Libor Manipulation: This is meant to be a discussion on calculating the extent of a particular banks' role in Libor Manipulation.Compare/regress 1M Libor against Bank A's (Bank A is on the Libor Panel) CDS. Assuming an increase in the Bank A's CDS would mean an increase in the rate at which Bank ...

I think it is a little outrageous that they are charging for the test now. It was free when I took it. It is not in the same level as CFA or PRM. Nor is it as challenging. Working for a small shop, they could care less about the BAT; CFA and ERP would grab more attention.

<t>Thanks, I posted my resume when I received the notice in 2011. I think they do make it accesible to interested employers, I have received several emails noting empoloyers are interested in me applying. The jobs were mostly, as I recall, asset management roles and that is not my area of interest s...