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by Catch22_av
July 12th, 2011, 2:39 pm
Forum: Student Forum
Topic: Structuring Barrier Reverse Convertibles
Replies: 10
Views: 20453

Structuring Barrier Reverse Convertibles

<t>Hello Daveangel,Thanks a ton for that Illustration. It clears a lot of things for me. So now the only blackbox I will have to solve is pricing this Down and In put option. Phew there is a plethora of literature on that itself. Anyway thanks again, you have been very helpful.With Regards,Avisesh. ...
by Catch22_av
July 12th, 2011, 12:35 pm
Forum: Student Forum
Topic: Structuring Barrier Reverse Convertibles
Replies: 10
Views: 20453

Structuring Barrier Reverse Convertibles

Here are a couple of good papers I found on Reverse Convertible. Both of them are empirical studies but they do detail their pricing approaches.Reverse Convertible Bonds AnalyzedPricing (Multi) Barrier Reverse ConvertiblesWith Regards,Avi.
by Catch22_av
July 12th, 2011, 11:57 am
Forum: Student Forum
Topic: Structuring Barrier Reverse Convertibles
Replies: 10
Views: 20453

Structuring Barrier Reverse Convertibles

<t>Hello Daveangel,Just to summarize my understanding with an example, Lets us assume an issuer wants to raise money through an issue of Barrier Reverse Convertible. His funding rate is assumed to be LIBOR+100bps i.e. for the money he raises he will pay this rate to the Financial Institution. Lets a...
by Catch22_av
July 12th, 2011, 11:13 am
Forum: Student Forum
Topic: Structuring Barrier Reverse Convertibles
Replies: 10
Views: 20453

Structuring Barrier Reverse Convertibles

<t>Hello Daveangel,I am a bit confused now. From what I remember, A classic Reverse Convertible is made up of a Money Market Instrument and Short Put where as a Barrier Reverse Convertible is made up of a Money Market instrument and Down and In Put. If the Barrier is less than strike which is usuall...
by Catch22_av
July 12th, 2011, 10:47 am
Forum: Student Forum
Topic: Structuring Barrier Reverse Convertibles
Replies: 10
Views: 20453

Structuring Barrier Reverse Convertibles

Hello Daveangel,The put options you mentioned in the explanation, are they Down and In puts?With Regards,Avi.
by Catch22_av
July 12th, 2011, 10:23 am
Forum: Student Forum
Topic: Structuring Barrier Reverse Convertibles
Replies: 10
Views: 20453

Structuring Barrier Reverse Convertibles

<t>Hello Daveangel,Thanks for your prompt reply.From what I have read about Barrier Reverse Convertibles (BRC) is that they can be thought about as.1. Long position in the underlying asset in combination with a short position in a call option2. Money market instrument in combination with a short pos...
by Catch22_av
July 12th, 2011, 9:43 am
Forum: Student Forum
Topic: Structuring Barrier Reverse Convertibles
Replies: 10
Views: 20453

Structuring Barrier Reverse Convertibles

<t>Hello Guys,I am trying to figure out how the IBs strucure a barrier reverse convertible. I understand how I can price a Barrier Reverse Convertible using Monte Carlo Simulation, but I am not able to make a leap as to how the prices are quoted in term of yields like here.What I want to know is giv...
by Catch22_av
July 6th, 2011, 3:37 pm
Forum: Careers Forum
Topic: Stuck in the Rut - Need a Break through as a Quant
Replies: 8
Views: 21528

Stuck in the Rut - Need a Break through as a Quant

<t>Hello Guys,Sorry for being AWOL for a while, was really tied up with work and some other things.@Cesaria - Thanks for your suggestion I would definitely look into that.@AbhiJ - I did check MFE from Berkeley, but honestly its way too expensive for my taste. It might be worth the investment but its...
by Catch22_av
June 3rd, 2011, 4:13 pm
Forum: Careers Forum
Topic: Stuck in the Rut - Need a Break through as a Quant
Replies: 8
Views: 21528

Stuck in the Rut - Need a Break through as a Quant

<t>Hello Caesaria,Thanks a ton for your response. I thought it would be better to be open than anonymous so that people get an accurate read about my situation. Anyway I understand it might not be wise to be too forthcoming.GRE and GMAT shouldnt be a problem, I had given GRE a few years back and did...
by Catch22_av
June 3rd, 2011, 3:26 pm
Forum: Careers Forum
Topic: Stuck in the Rut - Need a Break through as a Quant
Replies: 8
Views: 21528

Stuck in the Rut - Need a Break through as a Quant

<t>Hello Guys,I am currently working in London at one of the big IBs as a Business Analyst for the Structured Products Business. Let me give you some background about myself before I explain my quandary. I did my Bachelors in Engineering (Electronics and Communication) in 2004 and my MBA (or rather ...
by Catch22_av
August 11th, 2009, 6:37 am
Forum: Student Forum
Topic: Hull White 1 Factor - Swaption Calibration
Replies: 3
Views: 40332

Hull White 1 Factor - Swaption Calibration

<t>Hello Manolom,Thanks for your reply, really appreciate it. I found the closed form formula for pricing the swaption using black 76 model. I am assuming that the volatility in the data I gave in my previous message is to be plugged into this formula. Correct me if I am wrong.Now this formula requi...
by Catch22_av
July 24th, 2009, 5:25 am
Forum: Student Forum
Topic: Hull White 1 Factor - Swaption Calibration
Replies: 3
Views: 40332

Hull White 1 Factor - Swaption Calibration

<t>Hello,I am trying to calibrate Hull White 1 Factor model to swaptions. I have obtained some data on swaptions from a bloomberg screen. I am not too sure about the correct interpretation of the data. The data looks some thing like this.Swaption 1.00 3.00 5.00 7.00 10.00 CAP/F1.00 57.90 42.40 38.80...
by Catch22_av
July 9th, 2009, 8:23 am
Forum: Student Forum
Topic: Hull White 1F model Calibration - Negative mean reversion
Replies: 0
Views: 40121

Hull White 1F model Calibration - Negative mean reversion

<t>Hello,I am trying to make a Hull 1F model in excel and VBA. I have built the tree using the methodology provided by John C.Hull in the sixth edition of "Options,Futures and other derivatives". Now I was trying to calibrate this model to current market cap data using levenberg marquadt algorithm. ...
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