The Modern Interest Rate Stripper

For the currencies having an overnight swap market  (EUR Eonia, USD Ois, GBP Sonia), this rate has become the most liquid instrument under 2 year maturity. It will become more and more popular, because the overnight is the index with … Continue reading

Nitrox Exotic Products

Our models are all base on our SABR smile cube, thus we do integrated the smile effect in all the pricings. Listing or Exotics : Digitals : spread of options with the smile taken into account CMS Swaps and options … Continue reading

Katana Securities is another Ponzi scheme

One of my family member has been victim of Katana Securities and their said associated traders ( YTRL Serv Corp and Intransfer Services Corp ) I like to share their operational mode + provide a few tips in order to … Continue reading

Inflation R.I.P

Inflation belongs to the past for OECD countries. All these countries have financed artificial growth by borrowing heavily. Japan was the first one long time ago, it is now trying to get some inflation without much success. Developed countries populations … Continue reading

From CDS to Risky curve

Hypothesis: Credit default swaps and interest rate are independent. Notations: – Rf is the risk free rate (Quarterly MM) of maturity T – Entity is the reference credit entity – Rec is the recovery rate of the Entity – Cds … Continue reading

The Basic CDS Arbitrage

The initial CDS idea came from JP Morgan, let’s consider a bond trading near Par, one can do an asset swap versus Libor 3M plus Margin (M will be the margin) of 100 Million notional. In the asset swap, you … Continue reading

CDS and Bond Risk

Once you have a CDS curve, an assumption for the recovery, you can determine a Risky curve, and use it to compute the present value of a cash flow arising at the time T and contingent to the non-default of … Continue reading

The Credit Spreads

Bloomberg   Yield and Spread Analysis (YAS) EDF 5 02/05/18 Corp YAS On the Bloomberg screen capture above, you can see a lot of spreads (bottom left). 11) G-Sprd is the government spread; it is the Yield Spread between the bond … Continue reading

Deeper, Longer and Safer into Finance

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