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by mtsm
May 18th, 2017, 2:40 am
Forum: Technical Forum
Topic: Is there a name for this transform method?
Replies: 54
Views: 5075

Re: Is there a name for this transform method?

Hi, no I did not know about NICE before your post, but I am familiar with variational Bayes and GANs. It's all over the place at the moment, albeit mostly in computer vision. GANs are known to have raining issues and there are very large number of variations, with new ones popping out every day. I h...
by mtsm
May 17th, 2017, 2:28 pm
Forum: Technical Forum
Topic: Is there a name for this transform method?
Replies: 54
Views: 5075

Re: Is there a name for this transform method?

What are you trying to do? Learn the distribution through a generative model to then sample risk scenarios?
by mtsm
May 10th, 2017, 6:29 pm
Forum: Trading Forum
Topic: Butterfly Terminology
Replies: 7
Views: 860

Re: Butterfly Terminology

long the cash fly ~ short the belly, long the wings. long the swap fly ~ pay the belly, receive the wings check me on this if I am wrong please.  In rates it is good to think in terms of rates and talk in terms of bonds. Just about for everything including delta and options skew even (on certain des...
by mtsm
April 27th, 2017, 1:25 pm
Forum: Numerical Methods Forum
Topic: iv for all and all for iv
Replies: 102
Views: 14444

Re: iv for all and all for iv

I don't get this. What is the deal with implied volatility? It's just a numerical root solver away. End of story, no? 

Aren't all these approximations just a curiosity for unoccupied quants or am I missing something?
by mtsm
April 27th, 2017, 1:21 pm
Forum: Trading Forum
Topic: FVA pricing at inception + dynamic replication
Replies: 2
Views: 724

Re: FVA pricing at inception + dynamic replication

You need a framework to market make this I think, on the sell side. On the buy side, it's whatever you want. What we all know is that at the forward expiration date, it will be an 'observable' ATM spot vol contract.  I saw this being bid-offered off of a vanilla swaption and a mid-curve. So as overk...
by mtsm
April 25th, 2017, 1:24 pm
Forum: Trading Forum
Topic: Conventions in EUR and GBP Interest Rate Swaps
Replies: 3
Views: 763

Re: Conventions in EUR and GBP Interest Rate Swaps

1. In the UK and most (?) of the Commonwealth it's a Act365 money market basis (on the floating side). Yes other day counts are used, but the money market basis is as you say. 2. Dunno, but probably. You have to be a bit careful with jargon. Not all of it extends beyond the desk or business using it...
by mtsm
April 21st, 2017, 5:42 pm
Forum: Student Forum
Topic: AAD in practice
Replies: 8
Views: 712

Re: AAD in practice

Yes, it is used extremely heavily in ML to perform optimization by gradient descent. There are a lot of ML packages that implement this de facto. Just look at any of the packages released by the big tech firms. It's all about it. 

It's also used for various risk calculations in some global IBs. 
by mtsm
April 21st, 2017, 5:39 pm
Forum: Careers Forum
Topic: Getting a Ph.D for old farts
Replies: 43
Views: 4312

Re: Getting a Ph.D for old farts

Forget that kind of mathematical finance, it's defunct. Nobody cares about pdes, diff geom, etc... Seriously, even if Dodd-Franck becomes undone, I doubt that this will ever be more than a niche. In other words, I don't think derivatives will ever be the same again, whatever happens. There will alwa...
by mtsm
April 21st, 2017, 5:34 pm
Forum: Trading Forum
Topic: compounding basis swaps
Replies: 1
Views: 413

Re: compounding basis swaps

In USD I believe so, yes. Not in EUR or GBP afaik. Pick up the opengamma guide and I believe that the author said, that the guide would be reedited and a change would be made to precisely that point. There may also be an ISDA note on this I think. Check.
by mtsm
April 21st, 2017, 2:21 am
Forum: Technical Forum
Topic: OIS Pay lags and discount factors
Replies: 14
Views: 1437

Re: OIS Pay lags and discount factors

In order to recover (reprice) the OIS par rate, you need to actually price up the floating leg. In case you are just requesting a discount factor from the curve end then expect the zero rate to be close to the OIS rate, that's not right. The reason is that you neglect compounding. I don't think this...
by mtsm
April 20th, 2017, 1:26 pm
Forum: Technical Forum
Topic: OIS Pay lags and discount factors
Replies: 14
Views: 1437

Re: OIS Pay lags and discount factors

I don't copy that, but may easily be wrong about that, I no longer work in that asset class. But let me spell out what I think. I think the OP was not being very lucid. So the instrument goes strictly between 4/20 and 5/4. The 5/8 is for practical purposes only. There isn't any rate accruing beyond ...
by mtsm
April 20th, 2017, 1:02 pm
Forum: Technical Forum
Topic: OIS Pay lags and discount factors
Replies: 14
Views: 1437

Re: OIS Pay lags and discount factors

Between 4/20 and 5/4, hence to the 4th.
by mtsm
April 20th, 2017, 12:58 am
Forum: Technical Forum
Topic: OIS Pay lags and discount factors
Replies: 14
Views: 1437

Re: OIS Pay lags and discount factors

I am not really sure where the confusion is.  What BBG functionality are you referring to? ICVS 42? Maybe what thety do is right and you are misinterpreting what they do. Maybe if you highlight what you mean by "deriving the discount factor from the par OIS rate", it will become clear. Can you be mo...
by mtsm
April 19th, 2017, 2:43 pm
Forum: Technical Forum
Topic: OIS Pay lags and discount factors
Replies: 14
Views: 1437

Re: OIS Pay lags and discount factors

Yes it does, look at the simple example. And write to BBG - get help from a BBG meta-meta-helper who will put you in touch with a meta-helper who will call for help form a helper who will help you. Ask them what they do and why. The pay-lag exists because of the delayed publication of the fixing. No...
by mtsm
April 19th, 2017, 4:11 am
Forum: Technical Forum
Topic: OIS Pay lags and discount factors
Replies: 14
Views: 1437

Re: OIS Pay lags and discount factors

Do you have the CS Basis Points doc from 2010?
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