What tools are missing if I start a hedge fund today ?

Um... I actually do (feel free to quiz me on c#; back in the days I wrote my own CDS pricing before the banks made them available)... it's fairly easy to set up a monitoring program for covered int arb; the only problem, again, is that the pricing formula that the entire street uses preclude the existing for a covered interest arb.

Again, are you really this dense?

 

I'm way past entering data, and make a very good living.

 

Show me the program that's available then. I'm not doubting you, so where can I get this program?

 

Dude, this stuff is traded over the counter; You have to call up your counter party and get a quote for a size(for example), at which point he'd be an idiot not to run his FRA pricing to give you an arbitrage free price

 

(1) why would it be publically available? (and seriously, who would actually bother writing it - it's like writing a program to buy at the bid and sell at the ask at the same time - it would never make a single trade), and (2), again, there's no automatic execution for this stuff.

 

Hmmm.....I'm still thinking there is a way, here. It was my impression the quotes were given as well as the rate. Is that not the case? If so, then, yes, it's impossible.

 

What do you mean? I'm not sure I understand this statement

 

Hmm...well I appreciate your time, sjfan. I've never actually seen a bloomberg terminal before. I've only seen valueline, which I don't believe is as useful. So much for that idea then. It was a problem in Level II of the CFA curriculum, and hard at that.

 

The part of the covered interest rate parity isn't just the forward price, but the rate, that allows arbitrage. I need to know what rate I'd get for lending and what rate I'd get for borrowing. I guess it's kind of implied by the FRA, of course, but I'm thinking there's avenues for obtaining different lending and borrowing rates beyond the OTC market here.

 

No worries - I think it's on CFA I too; That pricing formula that's on CFA for FRA pricing - that's used by everyone. And since all the inputs are traded, it's guaranteed to have no possible arbitrage (again, unless someone really screwed up; I'm sure it happens, but not at all very often) - and the over-the-counter nature makes it a lot less likely.

Now that we've successfully hijacked the thread... sorry to the OP