On such long terms you allways better off looking at yields rather then prices, esp. unadjusted futures prices. Now, the yields have been coming...
Dude's talking about TED spread. Takes a lot of thinking to trade it, but it's a pretty interesting tool.
oops, right angle = 90, not 180 (did a literal translation first)... yep, then .5pi and it's 44 times in 24 hours (midnight and noon still don't...
dude, there is only (at most!) one exactly-right angle per every hour. Also, the two hours do not show exact right angles (noon+midnight), so it...
Yep, i think in the "new world" of restricted Fannie and Freddie, demand for both gamma and (especially) vega on longer tails will be smaller then...
Espens group (FI/FX prop) has been focusing on selling gamma this year, rather agressively. This sounds very much like somethig they'd do.
no, what actually happends is that they promote you to the point where you have to manage people and deal with corporate issues like budgets. it's...
No, but you are forced to allocate a credit haircut for every counterparty trade. A few desks are using this to their advantage and are trading...
their swaption desk got hammered this year, the head of the desk got sacked and the losses are rumored to be on the order of 200mm. I think all of...
If you are trying to calculate the "futures" yield, you do need to know the CTD bond to do it well. If you do know the CTD bond, you can...
didn't read the first message, but the whole deal is to: a) determine CTD bond b) get the current price of the CTD bond c) calculate fwd price...
right, they spend more, but they save more too. don't you for a second think that they are poor, these are the guys that will retire at 50 with a...
All right dude, let's do an american digital on that one. Say, I'll pay you EUR 100 if USD/EUR ever hits 1.5 by Dec 31st 2005; if it never goes...
it's very easy to be Kassandra these days - if you are wrong, nobody'll remember, if you are right, you can boast that you have predicted the...
could you elaborate on that? do you mean asset confidence intervals?
we are seing a continuation of a credit driven flight to quality. i think G will go exactly as far as it will take to arrive to the neutral rate....
Bonds like series EE and I, they have their advantages (i.e. inflation protection and low cost putability), which should not be taken lightly....
Trading OTC derivatives is a very tricky game. If trading options vs. trading the underlying is like flying a plane vs. driving a car, then...
does not make sense at all - a normal fund would take AM fee of anywhere from 1 to 3% and 10 to 20% of the gains. Why would they even think of...
Think of it this way - implied volatility shows how much the underlying is expected to change (non-directionally) per unit of time. So, if you...
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