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by TinMan
May 16th, 2012, 3:43 pm
Forum: General Forum
Topic: LIBOR vs. OIS: The Derivatives Discounting Dilemma by Hull&White
Replies: 35
Views: 24180

LIBOR vs. OIS: The Derivatives Discounting Dilemma by Hull&White

<t>QuoteOriginally posted by: ancast I agree with HW that everything has to be discounted withthe risk-free rate, that is simply the way to give the value of money in time, not the rate of a risk-free deposit that does not exist any more (you are right TinMan on this point, but you are wrong when yo...
by TinMan
May 16th, 2012, 1:39 pm
Forum: General Forum
Topic: LIBOR vs. OIS: The Derivatives Discounting Dilemma by Hull&White
Replies: 35
Views: 24180

LIBOR vs. OIS: The Derivatives Discounting Dilemma by Hull&White

<t>Well I only had a cursory glance at it, but his argument seems to be that we value using risk neutral valuation using the risk free rate, so both collateralisedand non collateralised trades are valued using OIS, neglecting prob of default.You then make CVA/DVA adjustments to find your risky MTM.N...
by TinMan
May 16th, 2012, 9:11 am
Forum: General Forum
Topic: LIBOR vs. OIS: The Derivatives Discounting Dilemma by Hull&White
Replies: 35
Views: 24180

LIBOR vs. OIS: The Derivatives Discounting Dilemma by Hull&White

I think it's nonsense on so many levels.
by TinMan
May 11th, 2012, 7:29 am
Forum: Technical Forum
Topic: discounting
Replies: 65
Views: 19315

discounting

<t>QuoteOriginally posted by: tula QuoteOriginally posted by: listwhen TED widening what the goal to use new discount rate? ois itself cannot resolve the problems underlying to 'widening' . Old TED is measure of the 3m spread T-bond vs Eurodollar. Two rates are floating. OIS is the fixed rate vs ove...
by TinMan
May 10th, 2012, 9:31 pm
Forum: Technical Forum
Topic: discounting
Replies: 65
Views: 19315

discounting

<t>QuoteOriginally posted by: rmax The reason for moving to OIS was due to the issues of the TED spread widening back in 2008. Something that had always been minimal and nobody cared about suddenly became a big deal.LIBOR OIS spread. This is muddled enough already without bringing TED spreads into i...
by TinMan
May 10th, 2012, 10:05 am
Forum: General Forum
Topic: single currency basis swaps: two types of contracts
Replies: 28
Views: 19010

single currency basis swaps: two types of contracts

<t>QuoteOriginally posted by: miscelaniaQuoteOriginally posted by: pimpelTo my knowdledge the standard for EUR is a quote as two swaps, for USD as one swap.Regarding ICAP pages, if you start with OIS discount curve, when constructing basis curve with descent interpolation both types of basis swaps w...
by TinMan
May 10th, 2012, 9:53 am
Forum: Student Forum
Topic: SWAP Question
Replies: 10
Views: 13812

SWAP Question

<t>QuoteOriginally posted by: bearish The credit risk is certainly reduced, probably more so than when we go to mandatory clearing. At some point I will start worrying about pools of illiquidity (bad metaphor?) gathering in the wrong hands because of collateral games, but my current observation is m...
by TinMan
May 9th, 2012, 8:30 pm
Forum: General Forum
Topic: single currency basis swaps: two types of contracts
Replies: 28
Views: 19010

single currency basis swaps: two types of contracts

No you're right, a basis swap can be quoted as float vs float or back to back. In EUR ICAP quote the latter.Theoretically there is a difference between the two, whether everyone takes account of it is another thing.
by TinMan
May 6th, 2012, 9:28 pm
Forum: General Forum
Topic: Negative Swap Spreads
Replies: 83
Views: 68299

Negative Swap Spreads

<t>QuoteOriginally posted by: deepdish7 Guys come on, let's keep discussion in a more constructive tone. Well why don't you be constructive and explain it to him then?MG is a far more patient individual than me and he's tearing his hair out, so why don't you answer his inane question and see how lon...
by TinMan
May 6th, 2012, 6:10 pm
Forum: General Forum
Topic: Negative Swap Spreads
Replies: 83
Views: 68299

Negative Swap Spreads

QuoteWhen you're in a hole, stop diggingAnonymous
by TinMan
May 6th, 2012, 4:58 pm
Forum: General Forum
Topic: Negative Swap Spreads
Replies: 83
Views: 68299

Negative Swap Spreads

<t>You see, proof if it were needed that you're an arrogant idiot. You've been corrected time and time again by people who do this for a living but you 'know' better.Why ask others to 'clarify' something and then announce you 'know' the answer? Which is incorrect by the way.You lack even the basic i...
by TinMan
May 6th, 2012, 4:01 pm
Forum: General Forum
Topic: Negative Swap Spreads
Replies: 83
Views: 68299

Negative Swap Spreads

Ask the WSJ.
by TinMan
May 6th, 2012, 3:32 pm
Forum: General Forum
Topic: Negative Swap Spreads
Replies: 83
Views: 68299

Negative Swap Spreads

<t>QuoteOriginally posted by: Cuchulainn QuoteOriginally posted by: listit was asked a simple question with no answer. let c I { t = t_1 } + ... + c I { t = t_n } + 1 I { t = t_n }be a given cash flow. how to calculate its PV. Which formula is correct and why 1) c B ( t , t_1 ) + ... + c B ( t , t_n...
by TinMan
May 6th, 2012, 3:30 pm
Forum: General Forum
Topic: Negative Swap Spreads
Replies: 83
Views: 68299

Negative Swap Spreads

<t>Yeah that's the problem, Martinghoul doesn't know what he's talking about, he's not even sure which formula to use. What an idiot.Hey, why don't you email the WSJ and ask them?They're publishing the numbers, let them have their heads explode for a change instead of the poor buggers who come on he...
by TinMan
May 6th, 2012, 11:54 am
Forum: General Forum
Topic: Negative Swap Spreads
Replies: 83
Views: 68299

Negative Swap Spreads

It would be funny if it wasn't so pathetic. 1,869 posts and still this rubbish. My dog could have grasped this by now.I'd say do the internet a favour and go to school but it would be a waste of time as the imbecile won't listen.'Formula define imbecile does not correct'
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