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by prodiptag
March 20th, 2011, 6:00 pm
Forum: Technical Forum
Topic: Inflation Curve Building: Fisher Break-Even vs ZC Inflation Swaps
Replies: 3
Views: 22308

Inflation Curve Building: Fisher Break-Even vs ZC Inflation Swaps

<t>agree with martinghoul, building both curves is good. ZC may differ from bond BE for many reasons -> different credit/different cash flows/different interpolation/different seasonality/ and of course different supply-demand, not many people can (or prefer to) get an exposure to inflation via deri...
by prodiptag
February 15th, 2011, 5:57 pm
Forum: General Forum
Topic: Structured Notes on Secondary Market
Replies: 2
Views: 23599

Structured Notes on Secondary Market

<t>the structured notes (with all structure risks to a single desk, say for e.g. a vanilla callable fixed coupon note) the general guideline for mtm is sum of the swap mtm + funding cost owing to difference in present and original funding levels for the rest of the tenors. more complicated notes wil...
by prodiptag
January 20th, 2011, 6:00 am
Forum: General Forum
Topic: Economic Metric for Life Insurance Based on Swap Rates
Replies: 6
Views: 21831

Economic Metric for Life Insurance Based on Swap Rates

<t>the reason you need to know the curve shape is I think your duration is not on a single point. So if your liability has an effective duration of say 12yrs, and all of the cashflows is actually at the end of 12yrs, you really need not care about the shape of the curve, all that matters is a single...
by prodiptag
January 18th, 2011, 9:56 am
Forum: Technical Forum
Topic: USD accreters with EUR funding
Replies: 2
Views: 23289

USD accreters with EUR funding

<t>well not always, for USD, if it is EUR issuers for SEK or MYR, no doubt, but even EUR issuers sometime may keep USD open, esp now that there are chances they have shortage of USD funding. Apart from that, if you indeed have a xccy overlay, then that has to be also callables, and if that is the ca...
by prodiptag
January 18th, 2011, 9:33 am
Forum: Trading Forum
Topic: Cross gamma realisation and implied correl
Replies: 1
Views: 26850

Cross gamma realisation and implied correl

<t>1. yes, more or less right i think, cross gamma pnl will depend upon the difference between implied and realized covariance (rather than outright correls), so = 0.5*[covarianec(implied) - covariance(realized)]*integral_of(discount*cross-gamma*S1*S2)_over_time in a BS like world2. dont understand ...
by prodiptag
January 12th, 2011, 7:14 pm
Forum: Numerical Methods Forum
Topic: Quadratic Programming
Replies: 3
Views: 22218

Quadratic Programming

hope the problem is solved
by prodiptag
January 12th, 2011, 1:29 pm
Forum: Trading Forum
Topic: Question from trader to trader regarding punting
Replies: 9
Views: 23783

Question from trader to trader regarding punting

<t>intersting ... do you really expect an honest answer , a person who is not from "big IBs" will just blurt out his (possibly the best) guess, and if one is from "big IBs", well... not everyone enjoys explaninig their pnl to everyone else . general rules: 1. nobody says no to custy flows, ever 2. n...
by prodiptag
January 7th, 2011, 8:53 am
Forum: General Forum
Topic: Swaption and Caps/Floors
Replies: 1
Views: 23864

Swaption and Caps/Floors

<t>I think the best way for you to understand these issues is to think swap rate as a portfolio of fwd rates (weighted by daycounts and discount factors). So you can think of a swaption as a option on the portfolio of fwd rates, and capfloor as a portfolio of options on individual fwd rates. So if y...
by prodiptag
January 6th, 2011, 3:03 pm
Forum: Trading Forum
Topic: Mark-to-market of a CDS
Replies: 6
Views: 23882

Mark-to-market of a CDS

<t>@daveangel: yep, if you just buy an option on exchange, and pay the premium (i.e. no margining), then of course no margin calls possible, same happens even if you buy option otc and you are not a csa party and pay up the full premium upfront (and receive no collaterals) - no margin call. but thin...
by prodiptag
January 6th, 2011, 2:05 pm
Forum: Trading Forum
Topic: Mark-to-market of a CDS
Replies: 6
Views: 23882

Mark-to-market of a CDS

<t>yep, I think you need to post collateral, if you are a csa counterparty. why? because under csa, there is nothing called fully paid up option otc. if you buy an option from your counterparty, and up in MTM on day1 and pay up the full premium, it is like extending a loan to your countrparty. In ol...
by prodiptag
January 6th, 2011, 8:31 am
Forum: General Forum
Topic: CMS Steepner - Vol Surface
Replies: 1
Views: 22920

CMS Steepner - Vol Surface

<t>well, - the issue your facing is a bit complicated than simple splitting the strikes among the two payesrs - you are facing probably the whole smile and also you are not fcing the smiles on the swaptions, but cms smiles. May be you would want to look at some papers on spread option pricing (using...
by prodiptag
January 4th, 2011, 1:47 pm
Forum: Student Forum
Topic: EUR Inflation Year On Year Swap quotes
Replies: 4
Views: 26223

EUR Inflation Year On Year Swap quotes

<t>you are welcomeexample of a cap, EUIS22 Curncy -> 2y struck at 2%, EUISFA2 Curncy -> 2y 0 strike floor, and yes you would need convexity adjustments (and others, like lag/ interpolation etc), for 2y that shouldnot be too large (where as the lag/interpolation is still important), but of course dep...
by prodiptag
January 4th, 2011, 12:54 pm
Forum: Student Forum
Topic: EUR Inflation Year On Year Swap quotes
Replies: 4
Views: 26223

EUR Inflation Year On Year Swap quotes

<t>usually you dont get the quotes for YOY swaps, the market standard is ZC for inflations in most markets (in fact in all that I know). Some sellsides( banks)/brokers do publish pages for YOY quotes though, they usually are paid services, and doesnt come by default with the terminal. So I doubt you...
by prodiptag
January 4th, 2011, 12:41 pm
Forum: Technical Forum
Topic: Interest Rate Options - Early exercise
Replies: 6
Views: 22780

Interest Rate Options - Early exercise

<t>QuoteOriginally posted by: natkinsIt happens only occasionaly for two reasons in Euribor options.First, if the person trading has some sort of strange tax treatment of options compared to futures.ah, tax, of course, strange things happens due to tax reasons, people have even been known to spend a...
by prodiptag
January 4th, 2011, 12:37 pm
Forum: Technical Forum
Topic: Option on Volatility Target Index.
Replies: 7
Views: 24573

Option on Volatility Target Index.

<t>ok, thinking aloud, I think your major exposure is to smile term structure + underlying vol correlations. So any model that can handle this should be fine. I think if you can have a decent price back for variance swaps (rather vol swap) then the other thing, i.e. vol/underlying correl becomes mor...
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