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by PvalAnal85
November 29th, 2011, 8:50 pm
Forum: General Forum
Topic: CMS Swap
Replies: 50
Views: 214822

CMS Swap

ekim- are you just looking for a clear-cut mathematical representation of how to obtain the forward CMS swap-rate from put/call pairity after pricing up a CMS cap/floor pair by replication?
by PvalAnal85
November 28th, 2011, 2:18 pm
Forum: General Forum
Topic: LIBOR tenor conventions
Replies: 6
Views: 19019

LIBOR tenor conventions

<t>"A lot of trades have floating rates paying with 3M frequency. It maybe the reason or a consequence of 3M Libor being the most liquid tenor."But this is the fundamental question- what is it about 3M that makes it the most liquid tenor?One theory that I heard is; because Eurodollar futures denomin...
by PvalAnal85
November 23rd, 2011, 3:47 pm
Forum: General Forum
Topic: LIBOR tenor conventions
Replies: 6
Views: 19019

LIBOR tenor conventions

Thanks for your reply. I suppose the question that follows from it is; why does the 3m USD LIBOR have the highest liquidity? Is there an economoc reason for this?
by PvalAnal85
November 23rd, 2011, 2:58 pm
Forum: General Forum
Topic: LIBOR tenor conventions
Replies: 6
Views: 19019

LIBOR tenor conventions

<t>Hello,Pre-2008 (before the OIS-discounting debate) the market-standard US discount (or funding) curve was the 3m LIBOR curve. For GBP it was the 6m LIBOR curve, for EUR it was the 6m EURIBOR, etc.My question is: What is (or was) the economic rationale behind these tenor-conventions? Why was the U...
by PvalAnal85
July 31st, 2009, 6:43 pm
Forum: Technical Forum
Topic: CNY Repo Trades
Replies: 2
Views: 38463

CNY Repo Trades

Has anybody ever built a zero-coupon curve for CNY Repo Rates? Are there any particilars to watch out for given that this currency is pegged? Does this have an implication for the discount curve?Thanks
by PvalAnal85
May 27th, 2009, 1:15 pm
Forum: Numerical Methods Forum
Topic: PV01 --> Delta Conversion
Replies: 2
Views: 42603

PV01 --> Delta Conversion

Delta = {PV01 - dL/dR[Pswaption/L]} / dR/drWhere L = Fixed Leg Annuity (the fixed leg PV of the underlying swap)R = Forward Rater = Zero Rate (i.e. underlying yield curve)Hope this helps
by PvalAnal85
May 27th, 2009, 1:08 pm
Forum: Technical Forum
Topic: What is correct undelying discounting curve?
Replies: 8
Views: 40133

What is correct undelying discounting curve?

<t>Has there been any considerable headway in the debate "should we be discounting using Fed Funds rather than LIBOR"? Current argument goes that it's always possible to put up the PV for collateralised swaps by borrowing at Repo, therefore this is the appropriate discounting method. This is argued ...
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