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by billyx524
August 2nd, 2019, 2:00 am
Forum: Student Forum
Topic: CMS Spread
Replies: 3
Views: 5595

CMS Spread

Hi, I have a question about the term "CMS Spread", can someone please clarify what exactly does it mean? When people say the  spread between two CMS rates (e.e. 10 year CMS rate minus 2 year CMS rate), is the so called "10 year CMS rate" and "2 year CMS rate" actually referring to the 10 year par sw...
by billyx524
June 6th, 2019, 1:10 am
Forum: Careers Forum
Topic: Interview Question
Replies: 10
Views: 7507

Re: Interview Question

While the question may appear to ask about your feelings and what will make you happy, I would work on coming up with an answer that is focused on what you can contribute to the desk/business/firm. This is a matter of personal style, but I'm not sure that describing yourself as very ambitious comes...
by billyx524
June 3rd, 2019, 4:15 am
Forum: Careers Forum
Topic: Interview Question
Replies: 10
Views: 7507

Interview Question

Hi,  I have been a risk quant for a few years, and I am looking to move into trading.  I have had a couple of job interviews, and I have been asked "Why do you want to move into trading".  My answer would be "I have been in risk modeling for a long time, the work is mostly for regulatory purposes.  ...
by billyx524
April 10th, 2019, 11:45 pm
Forum: Student Forum
Topic: Interview Question on Scribd
Replies: 13
Views: 6499

Re: Interview Question on Scribd

Sorry, I think the basis adjustment is between the forward (projection) curve and the discounting curve?  But how you want to model the basis is up to you, for example it could be a deterministic spread if you like.

Is this right?
by billyx524
April 10th, 2019, 1:57 am
Forum: Student Forum
Topic: Interview Question on Scribd
Replies: 13
Views: 6499

Re: Interview Question on Scribd

Thanks!

For the swap rate formula, it would need a basis adjustment right?  But how you apply the basis is a matter of choice?
by billyx524
April 10th, 2019, 1:04 am
Forum: Student Forum
Topic: Interview Question on Scribd
Replies: 13
Views: 6499

Re: Interview Question on Scribd

Thanks for this clarification.  I still have a couple of questions: 1).  I am not sure if I understand why you say the "relevant forward period is identical".  For the swaption case, the vol is the forward swap rate in one years time (relative to today) for a future two year period [1, 3].  For the ...
by billyx524
April 9th, 2019, 5:06 am
Forum: Student Forum
Topic: Interview Question on Scribd
Replies: 13
Views: 6499

Re: Interview Question on Scribd

Quick Question, when we say 1Y2Y swaption, is the 2Y relative to today, or to the 1Y point?  Meaning is the underlying swap tenor 2 years, or just 1 year?

Thanks!
by billyx524
April 8th, 2019, 2:17 am
Forum: Student Forum
Topic: Interview Question on Scribd
Replies: 13
Views: 6499

Interview Question on Scribd

Hi Everyone, I saw this interview question on scribd.  I am not sure how to proceed with this question.  Can anyone please offer me some hints?  Thanks in advance. -------------------------------------------------------------------------------------- Consider a 1x2 swaption and a cap. The cap under ...
by billyx524
October 14th, 2018, 4:17 am
Forum: Technical Forum
Topic: Libor rates
Replies: 1
Views: 891

Libor rates

Hello,

I have a simple question on Libor rates.  When people say "3 month Libor rate" what exactly is the 3 month referring to?  Is it the compounding frequency, or the length of the loan?

Thanks
by billyx524
May 10th, 2017, 3:45 am
Forum: Technical Forum
Topic: Pricing Down and Out Barrier Option by Replication
Replies: 1
Views: 712

Pricing Down and Out Barrier Option by Replication

Hi, I have been asked this question during a recent interview.  I was told this can be priced by a replicating strategy, but I have no idea how to do it. Price an european call option.  Support current stock price is 100, with strike price 90, and down and out barrier at 90.  interest rate and divid...
by billyx524
April 16th, 2017, 3:38 pm
Forum: Technical Forum
Topic: Need Help to get started on a question
Replies: 2
Views: 633

Re: Need Help to get started on a question

To me this sounds like a homework question on Merton jump-diffusion for FX. Maybe you can search for that (Merton jump diffusion) / read about it first?
Ok will do so.  Thanks
by billyx524
April 16th, 2017, 1:51 am
Forum: Technical Forum
Topic: Need Help to get started on a question
Replies: 2
Views: 633

Need Help to get started on a question

Hi, I need some help to get started with the question below, as I am not familiar with jump processes --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- Suppose the FX rate ...
by billyx524
April 16th, 2017, 1:26 am
Forum: Technical Forum
Topic: Risk Neutral Measure (Bank Account) vs T Forward Measure
Replies: 1
Views: 561

Risk Neutral Measure (Bank Account) vs T Forward Measure

Hi, My understanding is that the risk neutral measure with the bank account numeraire, and the T forward measure are both " risk neutral measures", just that they have different numeraires (bank account vs T maturity bond).  It is just by convention when we say risk neutral measure, we typically ref...
by billyx524
August 21st, 2016, 6:37 am
Forum: General Forum
Topic: Need Help with a pricing problem
Replies: 9
Views: 800

Need Help with a pricing problem

Hello, can I get some help on the below question.  Not sure how to approach -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- Given the risk neutral price dynamics for...
by billyx524
June 13th, 2016, 7:58 pm
Forum: Programming and Software Forum
Topic: C++ to simulate GBM
Replies: 3
Views: 1464

C++ to simulate GBM

Thank you
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