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billyx524
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Joined: February 12th, 2016, 4:48 pm

All Power to PRDC Notes

January 18th, 2020, 5:50 am

Hi,

Does anyone have a copy of "All Power to PRDC Notes" published in 2002 by Jason Sippel and Shoichi Ohkoshi?

Thanks
 
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bearish
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Re: All Power to PRDC Notes

January 18th, 2020, 8:40 pm

Hmm, I don't, but I worked with Jason at the time. Our rule of thumb was that we needed to buy one more computer for every other PRDC he sold.
 
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FaridMoussaoui
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Re: All Power to PRDC Notes

January 18th, 2020, 10:29 pm

Register for a free trial of Risk.net and you can read that paper.
https://www.risk.net/derivatives/1526705/all-power-prdc-notes
 
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billyx524
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Joined: February 12th, 2016, 4:48 pm

Re: All Power to PRDC Notes

January 19th, 2020, 1:16 am

Register for a free trial of Risk.net and you can read that paper.
https://www.risk.net/derivatives/1526705/all-power-prdc-notes
Unfortunately I already used my free trial :(
 
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billyx524
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Joined: February 12th, 2016, 4:48 pm

Re: All Power to PRDC Notes

January 19th, 2020, 1:17 am

Hmm, I don't, but I worked with Jason at the time. Our rule of thumb was that we needed to buy one more computer for every other PRDC he sold.
I reached out to him at JP Morgan, but unfortunately he does not have a copy anymore either.
 
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billyx524
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Joined: February 12th, 2016, 4:48 pm

Re: All Power to PRDC Notes

January 19th, 2020, 1:17 am

Hmm, I don't, but I worked with Jason at the time. Our rule of thumb was that we needed to buy one more computer for every other PRDC he sold.
What do you mean?  Because of the computation resources required to price them?
 
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bearish
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Joined: February 3rd, 2011, 2:19 pm

Re: All Power to PRDC Notes

January 19th, 2020, 1:31 am

Yes. I'm not claiming that we were particularly efficient, but we had a big stack of machines working on pricing and (arguably more importantly) risk numbers for them. 
 
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billyx524
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Joined: February 12th, 2016, 4:48 pm

Re: All Power to PRDC Notes

January 19th, 2020, 2:23 am

Yes. I'm not claiming that we were particularly efficient, but we had a big stack of machines working on pricing and (arguably more importantly) risk numbers for them. 
Was this for front office pricing or risk management (i.e. PFE purposes).  If it is for FO valuation, how many did you have on your books?  And were they most vanilla FX option type or more with embedded callability features?  I am guessing it must comes with exotic features, otherwise you can just price the vanilla as simple FX options
 
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bearish
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Re: All Power to PRDC Notes

January 19th, 2020, 1:49 pm

This was definitely “front office”, as in providing the barebones minimum required to provide daily mtm and rudimentary delta and vega exposures. And they were long dated with “local” rate and/or FX options, all bundled with “global” knockout or American early exercise features. So, all-in-all, pretty exotic, even in the relevant historical context. I don’t quite remember how many we had. The number 42 comes to mind, but that may have been the number of PCs employed in the process. So call it a few dozen. It was a messy affair, but much more classic in nature than the newfangled credit derivatives we were also grappling with at the time. And since we were largely (or entirely?) providing hedges to very highly rated structured note issuers, we didn’t worry much about counterparty credit exposure.
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