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by prodiptag
April 5th, 2016, 9:03 pm
Forum: Off Topic
Topic: decent retail FX brokers in UK
Replies: 0
Views: 666

decent retail FX brokers in UK

Hi, what are some decent names that offer FX option trading for retail in the UK. Not very familiar with the broking/ direct exchange access scene here. Standard European ones on G10 pairs (no binaries or CFDs). Thanks vm.
by prodiptag
March 10th, 2016, 9:45 pm
Forum: General Forum
Topic: Mid-Curve Swaption
Replies: 3
Views: 2147

Mid-Curve Swaption

easiest way to understand this is when a midcurve options expires, you get (or pay) a forward (or futures in case listed option) on the underlying, unlike vanilla where you get (or pay) the underlying itself.
by prodiptag
March 10th, 2016, 8:42 pm
Forum: Technical Forum
Topic: Convexity adjustments in the following IR payoffs
Replies: 4
Views: 2394

Convexity adjustments in the following IR payoffs

<t>To best of my knowledge-fixed leg range accrual swap: no-floating leg range accrual swap (with float = range index): no-floating leg range accrual swap (with float <> range index): ?-zero Coupon Swap ? No Compounding: yes-zero Coupon Swap ? With Compounding: noin all cases except 4 you have match...
by prodiptag
March 10th, 2016, 8:12 pm
Forum: Technical Forum
Topic: bi-modal distribution
Replies: 6
Views: 1936

bi-modal distribution

Thx vm. Thats what I thought.
by prodiptag
March 10th, 2016, 7:18 pm
Forum: Technical Forum
Topic: bi-modal distribution
Replies: 6
Views: 1936

bi-modal distribution

<t>I agree the past distribution is no good proxy for forward. Also the implied distribution across asset classe (diversified equities, swaptions, fx) rarely is bi-modal. Not now for most I have checked. I think there is one reference of it in GBP/USD around the collapse of FRM mechanisms in early 9...
by prodiptag
March 10th, 2016, 5:44 pm
Forum: Technical Forum
Topic: bi-modal distribution
Replies: 6
Views: 1936

bi-modal distribution

in fact I see most of the stock indices price level distribution in recent time (say last 1 year daily price) is bi-modal, sometime strongly so. The returns are also bi-modal, but less pronounced. But besides the facts, let's just assume the price levels are bi-modal.
by prodiptag
March 10th, 2016, 2:53 pm
Forum: Technical Forum
Topic: bi-modal distribution
Replies: 6
Views: 1936

bi-modal distribution

<t>A couple of things on the bi-modal distribution to clarify my understanding. Assuming the underlying is not, say log-normal, but follows a n-modal distribution, is there any case where the returns distribution will not have n peaks. Also if the real world distribution is n-modal, is there any cas...
by prodiptag
August 10th, 2015, 2:10 pm
Forum: Technical Forum
Topic: ACM term premium paper
Replies: 0
Views: 2606

ACM term premium paper

<t>this refers this paper from NY fed on a regression based approach to TextI am trying to replicate the results in R. While this works very good for estimating the rates in the affine model (eq 25 to 27 in the paper), I am having trouble estimating the "risk neutral" rates (and hence the term premi...
by prodiptag
August 10th, 2015, 2:03 pm
Forum: Technical Forum
Topic: Midcurve swaption skew
Replies: 1
Views: 2977

Midcurve swaption skew

<t>the midcurve atm vol and the correlation (also the atm correlation) say nothing about the skew. One way to build a midcurve model consistent with SABR for the underlying is to treat the midcurve as a spread options, in fact 3m1y1y can be treated as a 3m forward 2y-1y spread options, and given thi...
by prodiptag
November 23rd, 2012, 10:47 am
Forum: Technical Forum
Topic: simple option price with uncertain vol
Replies: 2
Views: 23626

simple option price with uncertain vol

After a long wait, I think this comes close to an answer. Posted for informationhttp://www.fabiomercurio.it/uncertainvol2.pdf
by prodiptag
November 7th, 2012, 5:30 am
Forum: Technical Forum
Topic: Capfloor vs swaption vol skew
Replies: 3
Views: 11847

Capfloor vs swaption vol skew

<t>Honestly, I wont pretend to understand why the skew is positive out there - techinically low rates and zero bounds means pdf should be skewed towards positive side. But would not go as far as fear/greed etc. Yes, even as late as early 2011 the market was divided and some believed in the story of ...
by prodiptag
November 5th, 2012, 3:31 am
Forum: Technical Forum
Topic: midcurve swaptions
Replies: 3
Views: 15465

midcurve swaptions

<t>and another reason I am looking for this to create a synthetic position in forward vol. One way to do that is to buy a calendar and then sell a fly on the shorter expiry - to take care of the possible losses from the short gamma in the calendar in a large move. While this works okay on longer tai...
by prodiptag
November 4th, 2012, 4:45 pm
Forum: Technical Forum
Topic: midcurve swaptions
Replies: 3
Views: 15465

midcurve swaptions

<t>thanks for your answeryes i know they are not equivalent, and I am not looking for a pricing method, there are loads actually, more was talking about hedging. Practically, for a mid curve swaptions, I would take some position on the long/short straddle partially, and hedge the rest of gamma and h...
by prodiptag
November 3rd, 2012, 8:13 pm
Forum: Technical Forum
Topic: midcurve swaptions
Replies: 3
Views: 15465

midcurve swaptions

<t>If we have an ATMF midcurve swaption straddle position, one way to replicate this is via a long and short straddle, the strikes being the respective ATMF strikes. What if the original midcurve is quite OTM, any idea how to split the strikes of the long/short straddles combo - preferably in as muc...
by prodiptag
October 28th, 2012, 4:34 am
Forum: Technical Forum
Topic: Capfloor vs swaption vol skew
Replies: 3
Views: 11847

Capfloor vs swaption vol skew

<t>I would not say that is what it is, you see relative strikes in CF markets as well. But usually client flows from CF is more with sticky strikes, than in swaptions. So yes there is a slight bias.The skew these days, especially for gamma part of the surface is pretty much positive (positive -> pay...
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