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by Kamil90
August 25th, 2015, 5:48 pm
Forum: Student Forum
Topic: GARCH vs SABR
Replies: 5
Views: 2505

GARCH vs SABR

ok, I picked an example that came first to mind. How about GARCH vs Heston? If I am not mistaken that one is mean reverting.
by Kamil90
August 25th, 2015, 4:58 pm
Forum: Student Forum
Topic: GARCH vs SABR
Replies: 5
Views: 2505

GARCH vs SABR

<t>I have searched the forum for this type of question and did not find anything. I am trying to clear up in my mind the difference between the two. I picked two particular models for example purpose. Are they fundamentally different? Do they forecast the same thing? Is one better that the other? GA...
by Kamil90
July 31st, 2015, 11:46 am
Forum: Student Forum
Topic: Hull & White calibration
Replies: 5
Views: 139946

Hull & White calibration

<t>QuoteOriginally posted by: bearishThe idea is that you use some method (bootstrap, spline, etc.) to fit the initial yield curve to market data, independent of any model consideration. This can be done in terms of discount factors, spot rates, or forward rates; subject to mild regularity condition...
by Kamil90
July 30th, 2015, 8:04 pm
Forum: Student Forum
Topic: Hull & White calibration
Replies: 5
Views: 139946

Hull & White calibration

<r>I have read through the posts on the same topic but could not find an answer to the question I have. The below questions are old but the questions have not been answered and I have pretty much the same questions.So I would like to calibrate to caps/floors. For that I need to implement the calcula...
by Kamil90
November 11th, 2014, 1:31 pm
Forum: Student Forum
Topic: key rate durations hedging
Replies: 0
Views: 3364

key rate durations hedging

<t>I was reading a Tuckman's book page 138 Table 7.2 and I can't make sense of how he explains that the par 2 year bond has only exposure to the 2 year par yield y_2, etc, although if the 10 year bond is traded at premium, it will have exposure to more par yields(2,5,10,etc). I would like to see som...
by Kamil90
September 16th, 2014, 5:49 pm
Forum: General Forum
Topic: career as a rates quant
Replies: 4
Views: 4631

career as a rates quant

<t>I?m in search for some practical advice. I am just beginning my quant career in the rates business in one of the US investment banks. I do have a good academic technical background but I think I will gain more knowledge as I go along which relevant for finance. I know there are a number of differ...
by Kamil90
July 14th, 2014, 7:25 pm
Forum: Student Forum
Topic: building a discount curve
Replies: 12
Views: 6086

building a discount curve

<t>Thanks for the explanation, it starts clearing up...All I wanted is to quantify your comment: "Do you want to discount your liabilities using the US govt's cost of capital? Unless you're the US govt... Are you? " Cost of funding is characterized by the discount curve, so, that means that the disc...
by Kamil90
July 14th, 2014, 12:54 pm
Forum: Student Forum
Topic: building a discount curve
Replies: 12
Views: 6086

building a discount curve

<t>Can you please mention why is it tricky on its own to construct the curve out of treasury bonds? Because according to book and explanation of a bootstrapping as long as I have all the required liquid bonds, and as bearish mentioned we have enough liquidity in those, I should be able to construct ...
by Kamil90
July 12th, 2014, 1:25 am
Forum: Student Forum
Topic: building a discount curve
Replies: 12
Views: 6086

building a discount curve

<t>I see what you are hinting. So, we have lots of zero treasury bonds, but they give only a few liquid points on a timeline. There are treasury coupon bonds though but I assume they are not very liquid to trust those numbers? Obviously, I am taking only risk free bonds with a goal of constructing a...
by Kamil90
July 11th, 2014, 6:57 pm
Forum: Student Forum
Topic: building a discount curve
Replies: 12
Views: 6086

building a discount curve

<t>I know practitioners build yield curve from cash instruments, futures, swaps, etc. However, I was reading the book about bootstrapping technique and the author explains that using zero coupon and coupon bonds. So, I was wondering, why this is not the way the discounting curve is build from? Rathe...
by Kamil90
May 7th, 2014, 5:43 pm
Forum: Student Forum
Topic: 3M LIBOR in different curencies
Replies: 11
Views: 5465

3M LIBOR in different curencies

Thank you all! I think I grasped an idea of what LIBOR is and it has nothing to do with the FX market.
by Kamil90
May 6th, 2014, 7:23 pm
Forum: Student Forum
Topic: 3M LIBOR in different curencies
Replies: 11
Views: 5465

3M LIBOR in different curencies

<t>QuoteOriginally posted by: Traden4AlphaThink about what you are hypothesizing for a minute. Are you suggesting that because there's 101 YEN to the USD, that the 3M YEN rate is 101 times larger than the 3M USD rate?yes, sure, I understand. But when they collect the quotes, say for USD LIBOR, do th...
by Kamil90
May 6th, 2014, 4:54 pm
Forum: Student Forum
Topic: 3M LIBOR in different curencies
Replies: 11
Views: 5465

3M LIBOR in different curencies

<t>QuoteOriginally posted by: MartinghoulThese are very basic questions and you're way off...Why don't you try to see if you can find answers yourself? It seems to me that it would help you understand...I have been searching on web and I am still confused: "Libor rates are calculated for ten currenc...
by Kamil90
May 4th, 2014, 6:20 pm
Forum: Student Forum
Topic: 3M LIBOR in different curencies
Replies: 11
Views: 5465

3M LIBOR in different curencies

<t>I have a few short questions with regards to the LIBOR:By definition LIBOR is the rate banks lend each other. But, this rate can be quoted in different currencies. Does that mean that 3M EUR = 3M USD * FX holds? where FX is the current exchange rate between USD and EUR? Is LIBOR 3M the same "thin...
by Kamil90
April 28th, 2014, 10:56 am
Forum: Student Forum
Topic: swap carry question
Replies: 3
Views: 6657

swap carry question

<t>QuoteOriginally posted by: gc> a follow up question: a forward starting swap have no carry, is that correct? CorrectCan you please elaborate why forward starting instruments have no carry? It is supposed to be coupon less financing. What is swap starts in 6 months and we consider 1 year carry? </t>
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