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by Gmike2000
September 8th, 2004, 8:33 pm
Forum: Student Forum
Topic: DV01 for a Floater + Spread
Replies: 4
Views: 178364

DV01 for a Floater + Spread

<t>I think you are right. The error might be in the way you calculate Dv01 for the whole floater. I don't think bloomberg does this right (if that is what you are using). Generally, Bloomberg is not very good at calculating such numbers. I dont think they really model all the cash flows. For floater...
by Gmike2000
September 8th, 2004, 8:26 pm
Forum: Technical Forum
Topic: integrated volatility
Replies: 4
Views: 176022

integrated volatility

<t>i am not an expert on intraday analysis and the last time i worked with such time series was in grad school...but all i remember is that tick by tick data has a lot of noise and it can contain a lot of bad data points too. this can seriously mess with your results. small time intervals (e.g. 1-5 ...
by Gmike2000
September 8th, 2004, 8:17 pm
Forum: General Forum
Topic: Question about Greeks
Replies: 3
Views: 176108

Question about Greeks

<t>5yr and 10yr futures have gamma due to delivery option. Swaps have a lot of convexity, so as davidjn said, that is analogous to gamma. This gives them theta as well, because as the swaps mature they lose their convexity (the market pays for convexity). This also gives them vega...because convexit...
by Gmike2000
September 8th, 2004, 8:32 am
Forum: General Forum
Topic: hedging with futures
Replies: 6
Views: 176663

hedging with futures

<t>what drives the price of the convertible bond? do you really think it is the tsy curve? do a regression on the bond's yield changes and 2yr or 5yr yield changes. without looking at the results, i bet it is a low r^2.the other thing: if you hedge with a combination of 2s and 5s you may hedge the (...
by Gmike2000
August 25th, 2004, 4:42 pm
Forum: Student Forum
Topic: Par Yield vs Yield To Maturity
Replies: 28
Views: 227469

Par Yield vs Yield To Maturity

<t>the intuition behind the par curve is plain and simply (and i said that before) that this is the quoted curve you get from all sources of market info i.e. Bloomberg. You cannot escape it, the curve is the par curve. The spot curve is a theoretical construct mostly found in academic textbooks. Thi...
by Gmike2000
August 25th, 2004, 4:34 pm
Forum: Technical Forum
Topic: Forward inflation
Replies: 13
Views: 191978

Forward inflation

Actually - Benhae, this are very useful papers. Much better than Jarrow and Yildirim. Guess what I am reading tonight...
by Gmike2000
August 25th, 2004, 4:31 pm
Forum: Technical Forum
Topic: Forward inflation
Replies: 13
Views: 191978

Forward inflation

by Gmike2000
August 24th, 2004, 7:51 pm
Forum: Student Forum
Topic: Par Yield vs Yield To Maturity
Replies: 28
Views: 227469

Par Yield vs Yield To Maturity

<t>Ok, the confusion stems from the fact that academics tend to talk about zero coupon curves. Practitioners on the other hand, when they say "curve" they mean the par curve.The curve you pull up on Bloomberg using "IYC" is the par curve. The curve you see on bloomberg.com or finance.yahoo.com etc i...
by Gmike2000
August 20th, 2004, 8:44 am
Forum: Student Forum
Topic: SWAPTION THETA DERIVATION
Replies: 1
Views: 177538

SWAPTION THETA DERIVATION

There is no closed form solution for swaptions. Maybe an approximation, but no solution.
by Gmike2000
August 19th, 2004, 8:14 am
Forum: Careers Forum
Topic: Hiring situation for Skilled Foreigners
Replies: 5
Views: 178298

Hiring situation for Skilled Foreigners

<t>Bush actually suggested raising the number to boost the economy. So wait, if applications start 6 months prior, that does not mean those jobs are going to be counted in official payrolls statistics yet are they? They are going to be counted once these guys start working (in October or so)?Does an...
by Gmike2000
August 17th, 2004, 10:43 pm
Forum: Careers Forum
Topic: Hiring situation for Skilled Foreigners
Replies: 5
Views: 178298

Hiring situation for Skilled Foreigners

<t>Does anyone have good information on what the situation is like? I heard they ran out of H1 visas as early as March this year. No new visas available until October. These are likely going to be used up in no time, as many companies already have candidates selected and just wait for the day to sub...
by Gmike2000
August 17th, 2004, 10:36 pm
Forum: Careers Forum
Topic: CDS trading or index arbitrage ?
Replies: 1
Views: 177844

CDS trading or index arbitrage ?

<t>Do what interests you most. Forget the big bank vs small bank. Forget the starting salary (it is meaningless compared to what waits down the road) If this is your first job you are going to switch after a few years either way. Ask yourself: Where do I learn the most? What excites me more? If had ...
by Gmike2000
August 17th, 2004, 10:30 pm
Forum: Careers Forum
Topic: .
Replies: 8
Views: 178355

.

and dont forget to ask for a raise
by Gmike2000
August 17th, 2004, 10:25 pm
Forum: Student Forum
Topic: Calculation of Bpvols vs Yield Vols
Replies: 1
Views: 177661

Calculation of Bpvols vs Yield Vols

This is correct.Don't worry, there are no stupid questions, only stupid answers. I can assure you, many practitioners cannot tell bpvol from yield vol.
by Gmike2000
August 16th, 2004, 7:50 pm
Forum: General Forum
Topic: SHOULD SOVEREIGN DEBT BE FORCED TO FLOAT?
Replies: 5
Views: 178584

SHOULD SOVEREIGN DEBT BE FORCED TO FLOAT?

<t>I dont know if mdubuque is right in what he claims. Our emerging markets guys dont think this is necessarily true, and some of them have actually come from the IMF. But then again, did anyone ever claim the IMF is out there to help developing countries? As one of my professors used to say "If you...
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