E***e
发帖数: 3430 | 1 基本就是老套路
用Brigo书上G2++的模型做了个analytical的pricer
然后用SSE往Swaption surface上fit
Pricer和不止一个商业软件都核对过了，没问题完全正确
可是calibration的结果偏偏很奇怪
HW2F的Correlation (注意不是G2++的)基本都是+1或者-1
完全不reasonable
swaption surface倒是吻合的很好
感觉有严重的overfitting，或者干脆在fit to noise了
swaption price都是从彭博USSV*** Curncy上导出来的
Swaption surface是这样取的：
OptionTerm = 1, 5, 10
SwapTenor = 1, 5, 7, 10, 20
不知有没有前辈可以分享点经验
这到底是什么问题？
需要Cap和Swaption联合calibration么？ |
|
r**a
发帖数: 536 | 2 I have a question about the swaption pricing formula. We know that the
swaption can be viewed as a option based on coupon bond. So we can use the
short rate model and the option pricing formula on coupon bond to get the
price of swaption. We can also use the forward swap measure (see book "Term-
Structure Modesl" by Filipovie) and Black's formula to do the pricing. Does
anyone know the relation between the above different methods? Thanks a lot.
Furthermore, does anyone know where I can get some ... 阅读全帖 |
|
r**a
发帖数: 536 | 3 多谢回复。不太适应Brigo&Mercurios的写作风格，当然是我自己的原因，不是说这书
不好。正在读Andersen&Piterbarg的那一套。
另外，现实中是不是说用short rate model去pricing swaption已经不太常用了？因为
在看一本用tree去做pricing的书,里面主要是把swaption写成option on coupon bond
来做pricing。这书是2000年左右的书，所以里面的东西我不好说现在仍然很实用。说
实在的我现在没太明白，为啥要做那些market model。就是说market model对于short
rate model来说好在哪里？感觉上是volatility的动力学更符合实际。但是不知道对不
对。
rate,
for
the |
|
E***e
发帖数: 3430 | 4 根本没指望fit skew
我在想是不是swaption surface取太小了
可是liquid的swaption就这么几个啊
唉 |
|
d**n
发帖数: 559 | 5 下面是Swaptions Implied Volatility的市场数据，我的问题是为什么随着Option
Term的增加，Volatility减少；同时为什么随着Swap Maturity的增加，Volatility减
少。有什么直观或着理论的解释吗？
Swaption Volatilities
Swap Maturity
Option Term 24 60 120
3 Month 72.47 60.155 47.13
6 Month 69.38 55.58 44.56
1 Year 62.76 50.46 42.06
2 Year 55.255 45.89 39.93
3 Year 50.785 43.28 38.69
4 Year 47.665 41.96 37.9
5 Year 44.41 ... 阅读全帖 |
|
w********r
发帖数: 253 | 6 【 以下文字转载自 Quant 讨论区 】
发信人: whatsummer (不理猫@St Trinians), 信区: Quant
标 题: brokered CD curve and swaption curve (help help!!!!!!!!!!!!!!!)
发信站: BBS 未名空间站 (Thu Jan 26 13:46:57 2012, 美东)
The spread between brokered CD and swaption rates
1. is there mean reversion pattern?
2. how does brokered CD respond to the baseline rates?
3. what do the response lags look like under different rate levels
Is there any previous research on this? any clue on which direction/key
words to start with? |
|
l*****i
发帖数: 3929 | 7 If you sell a receiver's swaption, you will be subject to both directional a
nd volatility risk in the interest rate market. Assuming you can hedge this
trade using options on Eurodollar futures, which hedge would you prefer?
A) buy calls on Eurodollar futures
B) sell calls on Eurodollar futures
C) buy puts on Eurodollar futures
D) sell puts on Eurodollar futures
Thanks! |
|
r**u
发帖数: 69 | 8 i think the answer is a).
here is my reason. when you sell receiver swaption, you give the counterparty the option to receive fixed rate at strike. when swap rate goes down below strike, the counterparty would exercise to receive the strike, paying you float. hence, you loose money when rate goes down.
to hedge this, you need to buy option where you make money when interest rate goes down, which is the call on EDF.
a
this |
|
l*****i
发帖数: 3929 | 9 Let's assume you enter into a 4-year quarterly-reset payer's swaption at 5.2
0% on a notional amount of $20,000,000 indexed to a 3-month LIBOR.
If FED continues to cut interest rate, would this swap show a profit or loss
?
Thanks! |
|
r**u
发帖数: 69 | 10 not quite sure about 4-year part. is it expiry or tenor?
also, not quite sure about quarterly-reset/indexed to 3-month libor. aren't
they the same thing about the floating leg?
anyways, here is my thinking. if you long pay fixed swap, each time fed cuts
rate, you would tend to lose money. hence, if you long payer swaption, you
would lose money as well.
.2
loss |
|
p********0
发帖数: 186 | 11 Hi,
I am using simulation to estimate the swaption value.
I have 500 unique paths of short rate over the next 10 years.
I am trying to use the Black model the valuate the 1 year into 1 year
european option.
In order to use the Black model, I need to figure out the Forward swap rate
volatility.
For each path, The forward swap rate can be backed from FSR(1, 2) = D(0, 1)
- D(0, 2)/Annuity(0, 1, 2).
Since I have short rate for time1, time2, so I can easily get the D(0,1)=EXP
(-AVG(r0, r1)*1). So I c |
|
m******2
发帖数: 252 | 12 有哪位知道可以去哪儿找到Cap和Swaption的数据？Bloomberg或者DataStream上有么？
多谢了 |
|
b**a
发帖数: 1375 | 13 请教前辈: 俺初次接触interest model的calibration. 现在系统用swaptions做校准,
但是出来的结果在小的tenor的时候, 比如1yr, 误差都超过10%
可能是什么原因造成的啊? 如何改进? 多谢. |
|
b**a
发帖数: 1375 | 14 多谢多谢. model是BGM, calibration instruments是1*1到10*10的swaption |
|
K*****Y
发帖数: 629 | 15 Short rate models assume some form of stochastic process for the short rate,
from which the distributions of bond prices can be derived and be used for
pricing options. LSM model assume that the swap rate, a direct market
observable, follows log normal distribution, whivh enable swaptions to be
priced via Black model. In general , short rate models are not compatible
with LSM.
You can refer to Brigo & Mercurio's book for more discussions regarding the
two types of models. Andersen & Piterbarg i... 阅读全帖 |
|
w********r
发帖数: 253 | 16 The spread between brokered CD and swaption rates
1. is there mean reversion pattern?
2. how does brokered CD respond to the baseline rates?
3. what do the response lags look like under different rate levels
Is there any previous research on this? any clue on which direction/key
words to start with? |
|
w******g
发帖数: 271 | 17 hi , 各位牛人，
请问街上面试有关swap/swaption的面试，一般都有什么问题可问？
谢谢各位！ |
|
o******e
发帖数: 750 | 18 swaption到期时的value;
black vol vs. normal vol;
不同的rate model对pricing的影响；
都是问些intuition,比如第一个只要回答rate difference * dv01就好了。 |
|
E***e
发帖数: 3430 | 19 试过Hull White 1F，基本可以fit
但是感觉很奇怪
因为swaption应该对term correlation非常敏感才对
现在看来反而是跟correlation没什么关系
前辈有没有以前fit的细节？
比如是不是fit ATM？
Surface怎么取的？
谢谢了！ |
|
K******C
发帖数: 230 | 20 first you should agree: correlation must have some meanings, it is not the
same as vols. it is short end and long end curve correlation. need to do
some experiments on ZCBs. Also, i thinks 2F HW has pseudo analytical
solution for swaptions for different measure. do some google find the
formula.
mse optimization is not a good choice here.
BTW check Anderson's book. |
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t********t
发帖数: 1264 | 21 swaption quotes the vol of swap rate, which is the average of forward rates.
The longer the term, the less volatile the average |
|
d**n
发帖数: 559 | 22 我可以理解swap rates term越长，利率越高，swap rates volatility 越低。可为什
么Swaption作为期权，它的implied volatility，即受 swap rates term的影响; 又受
option本身term的影响，而且都是负的。
rates. |
|
t********t
发帖数: 1264 | 23 Rate process is mean reverting. For long term swaption, you cannot expect
the var of terminal swap rate is linear in sqrt(T). thats why vol is
decreasing in option's maturity |
|
d**n
发帖数: 559 | 24 Mean reversion makes sense, but I don't get the linear sqrt(T) part.
Can I get that relationship from Black-76 model for swaption pricing? |
|
K*****Y
发帖数: 629 | 25 callable bond can be decomposed into (par floater) + (payer swaption).
the strike on the payer swaption depends on both the coupon rate and the
spread over LIBOR. So you only need to be able to price the swaption in
order to back out the coupon rate since you already know the spread.
If you want to consider default risks more seriously, then this can be more
tricky. |
|
w*l
发帖数: 6 | 26 "the strike on the payer swaption depends on both the coupon rate and the
spread over LIBOR" this is the part I can't understand. Is that like the
swaption strike should be expected 2yr forward rate 1yr from now? I guess I
don't know how to calculate the strike for the swaption. Can you explain a
little bit more?
more |
|
g***c
发帖数: 11523 | 27 ft，swaption for sure，这有啥难的
不是因为swaption有多牛逼，是因为多转了一道弯，会玩的人不多
另外，caps/floors是对interest rate市场， swaption是对currency，currency市场
大太多倍了，whale的优势太大。 |
|
b***k
发帖数: 2673 | 28 ☆─────────────────────────────────────☆
Cyrix (The CPU) 于 (Sun Dec 30 22:55:54 2007) 提到:
一些名词解释
1. Short BPV weighted 2/5/10 butterfly
（1）BPV是什么呢？
（2）这里是指long 2 & 10 还是 long 5?
2. Pay in the belly of 2s5s10s swaps Fly
这是否指Pay Fixed 5y swap, receive fixed 2y & 10y?
3. sell 10s against a 2s/30s Fly
这里也是指一个butterfly吗？是否long 2, 30, short 10?
4. 有时见到这个名词 3Yx10Y implied volatility
这3Yx10Y是指一个 Swaption吗？ 3是指Option的expiration还是指Swap的期限？
5. 又看到这个词 7y10y Straddles
这straddle里的两swaption是 |
|
w*l
发帖数: 6 | 29 How you can back up a coupon rate on a newly issued European callable bond,
being given current market
swaption vol and callable agency spread to LOBOR?
You can consider treasury curve, swap curve and other basic rates as
accessible market information.
I tried several methods but can not get the right level that close to the
market level.
Say a FNMA 3nc1, given 3nc1 spread to LIBOR is 145 bp, 1Y2Y swaption vol is
45?
Sincerely thanks! |
|
w******o
发帖数: 59 | 30 对于vanilla swaption,一般用black76 priceing, exotic swaption如果不能
replicate,大家一般用什么interest rate model来pricing? LMM吗？ |
|
l****z
发帖数: 29846 | 31 Exclusive: Chicago rating downgrade may end swaps deals - Moody's
By Karen Pierog
(Reuters) - The downgrade of Chicago's credit rating by Moody's Investors
Service on Friday could immediately terminate four interest-rate swap
agreements, costing the city about $58 million, and could lead to more
terminations in the city's swaps portfolio.
Moody's in a report noted that its downgrade of Chicago's credit rating to
Baa2 triggered termination clauses in four swaps contracts, used by Chicago
to hedge... 阅读全帖 |
|
r*******y
发帖数: 290 | 32 You can
1) buy swaption to hedge your rate risk if you plan to buy house in the
future
2) short stocks that behave like bonds, like REITs/ATT
Both may be expensive. The carry cost is high. |
|
t*******e
发帖数: 339 | 33 若你面试中没有被问及product(rate derivatives, credit, bond, swap, swaptions,
etc),估计是infrastructure team (real time,low latency, socket, etc.) 否则,
会有机会和quants, risk management, trader等打交道.
若有feedback,至少不会直接被拒,可能需要补充一些材料,比如 visa status,expected
comp, relocation (London, NYC, etc.).祝好运. |
|
E***e
发帖数: 3430 | 34 我最主要的工作是：
推公式
evaluate各种模型
一个模型挂了找原因找解法
calibrate市场数据
还是另一个帖子里说的那样：
数学内容占比90%
基本全是stochastic calculus和probability theory
一丁点的statistic可忽略
编程只占10%
给个简化了的例子：
就用最简单的Monte Carlo
模拟vanilla和binary
算option value/Delta/Gamma
会观察到什么现象？
为什么？
怎么解决？
再一个简单的例子：
用Hull White 2F
分别去calibrate 2005和2015的ATM swaption surface
会观察到什么现象？
为什么？
怎么解决？
所需skill set感觉根本不在物理经济的训练范畴
也总听说类似说法
意思大概是quant就是金融码农
感觉太误导了 |
|
F*D
发帖数: 361 | 35 【 以下文字转载自 Quant 讨论区 】
发信人: usajobs (usajobs), 信区: Quant
标 题: Quant Developer to Implement Front Office Credit Derivatives models
发信站: BBS 未名空间站 (Tue Jun 30 21:57:56 2009, 美东)
Structured Credit analytics group is hiring for a Quant Developer to work on
model implementation for the Structured Credit desks (CDO, CLO, Default
Swaptions & other correlation products) and Credit Flow businesses (
Corporate Bonds, CDS, CDX & ABX).
This is a great opportunity to join a team which is building out from
sc |
|
s******l
发帖数: 472 | 36 【 以下文字转载自 Quant 讨论区 】
发信人: strangel (strangel), 信区: Quant
标 题: Hiring Analytics C# Developer
发信站: BBS 未名空间站 (Fri Mar 2 19:04:54 2012, 美东)
Hi friends,
My team is looking for analytics C# developer with capital market experience
. The work place is in Charlotte, NC. The position is contractor to hire.
Please email me your resume if you are interested in the position. rr28213@
yahoo.com.
Job Description:
Capital Markets Quantitative Developer
Front Office/Middle Office/Finance system develope... 阅读全帖 |
|
a****g
发帖数: 53 | 37 工作上用。正在学习。
谁能推荐一本实用型的，固定收益投资，风险的书？主要是汇率产品。swap啦，
swaption啦，国债啦等等。。。
谢谢！
Hull的书看了。还是需要更多实际运用的。 |
|
i********b
发帖数: 222 | 38 大牛指教。
那些swap或swaption该怎么买？没有经验。 |
|
s***y
发帖数: 357 | 39 25.5是 June.30 的， 现在肯定不止
比如Jul~Sep FNCL 4.0 涨了大概 1 point, 当然因为它hedge了，所以肯定没涨那么多
见图1
OAS 就是个spread， 就是说如果你买MBS 用Swap hedge interest rate 再用swaption
hedge volatility exposure 你还能每年净赚得利润。
见图2 FNCL 4.0，去年9月份QE3一出来， MBS OAS跑到负的去了，3/4月狂跌，现在已
经稳定下来了。 |
|
m*********a
发帖数: 3299 | 40 我知道oas 是mortgage 与 treasury 的spread.
你这个FNCL OAS的图是从哪来找的？
显然这个季度没有OAS的风险。但是interest rate还是上了0.4%.
swaption |
|
c*******y
发帖数: 1630 | 41 这个能这么理解么？？？
你买MBS的时候是short OAS的吧。顶多赚，carry个OAS delta。
我的理解carry是fixcoupon-COF-costofhedge
OAS是决定book p&l on price
不过你上面说的那些，搁一年前都成立。那个时候book value 30多，
duration gap也极小，convexity也hedge了。
swaption |
|
s******l
发帖数: 472 | 42 【 以下文字转载自 JobMarket 讨论区 】
发信人: strangel (strangel), 信区: JobMarket
标 题: Hiring Analytics C# Developer (转载)
发信站: BBS 未名空间站 (Fri Mar 2 19:12:18 2012, 美东)
发信人: strangel (strangel), 信区: Quant
标 题: Hiring Analytics C# Developer
发信站: BBS 未名空间站 (Fri Mar 2 19:04:54 2012, 美东)
Hi friends,
My team is looking for analytics C# developer with capital market experience
. The work place is in Charlotte, NC. The position is contractor to hire.
Please email me your resume if you are interested in the positio... 阅读全帖 |
|
b*x
发帖数: 5456 | 43 http://www.reuters.com/article/2015/02/27/us-usa-chicago-swaps-
(Reuters) - Chicago drew closer to a fiscal free fall on Friday with a
rating downgrade from Moody's Investors Service that could trigger the
immediate termination of four interest-rate swap agreements, costing the
city about $58 million and raising the prospect of more broken swaps
contracts.
The downgrade to Baa2, just two steps above junk, and a warning the rating
could fall further still, means the third-biggest U.S. city could ... 阅读全帖 |
|
d*****j
发帖数: 1192 | 44 All major banks and brokerage firms offer IR swaps and swaptions. You will
be very marketable after this. |
|
y**e
发帖数: 2729 | 45 女孩子很喜欢这样的处事方式,简单明了,大寿助人为乐心情好
那个加密的东西是芝加哥大学金融工程硕士写的一个小软件
就是Hull-White two-factor model,calibrate swap & swaption
最优化收缩到需要的变量,然后用于generate risk neutral scenario
为了满足以后法规的需要,所有的东西必须用market consistent valuation
其实那个two-factor model的calibration 我们版上大多数人看看论文就会自己弄了
但是我很懒,就喜欢看现存的
大寿你有空也研究下economic scenario generator 吧,以后我帮你打工 |
|
v****r
发帖数: 353 | 46 哎，CFA这个对做审计的其实没啥大用（做金融行业审计的例外）。
当初是LD想考，我就陪考了。
一级我大概看了75小时。
二级100小时左右吧。二级的最后一些没来得及看（衍生工具，比如swaption什么的）。
总算也都幸运过了。
如果硬要说的话，CFA里大概有25%左右的内容跟会计相关，
但侧重点不尽相同。
会计相关的内容CFA比较重分析，而CPA更强调规则。
BEC里不少内容也是CFA I的组成部分。不过个人感觉CFA考得更细、更深。
mean |
|
x****x
发帖数: 87 | 47 Arbitrage Free Pricing of Quanto Swaptions
Phil J. Hunt ,Antoon Pelsser
The Journal of Financial Engineering, Vol. 7, No. 1, March 1998
Mathematical foundation of convexity correction
Quantitative Finance, 3(1): 59--65, 2003.
Authors: A. Pelsser
my email, f********[email protected]
many thanks! |
|
x****x
发帖数: 87 | 48 Arbitrage Free Pricing of Quanto Swaptions
Phil J. Hunt ,Antoon Pelsser
The Journal of Financial Engineering, Vol. 7, No. 1, March 1998
Mathematical foundation of convexity correction
Quantitative Finance, 3(1): 59--65, 2003.
Authors: A. Pelsser
my email, f********[email protected]
many thanks! |
|
f*********1
发帖数: 117 | 49 我现在有一个一个daily par swap rates的time series，如何从中找出swap market
的invariants? 是不是还应该需要ATMF implied volatilities?
上周在版上问了一次,被淹了,今天重发一次.
请各位指点一下, 多谢多谢! |
|
a*****r
发帖数: 63 | 50 最近在看LMM, 看了不少资料,反而把自己绕进去了,现在头脑僵硬看不懂Calibration这
块了. 急需牛人指点一二.
我的问题如下:
calibration我的理解就是用市场上的实际数据(比如swaption 价格),来估计
volatility,然后通过这个volatility来算模型推导出来的swaptioin 价格. 其中这个
volatility要能minimize error funciton.
然而: 1.为什么书上同时给出这个公式
sigmamodel_n_{^2}=(1/T_n) *Integral_0_{T_n}{sigma_n_{^2} } (也就是implied
volatility 在给定时间Tn内的平均值)
来计算模型中的sigma? 那这样的话,sigma不就是确定了吗? 怎么来minimize error
function呢?
2. implied volatility 和instantaneous volatility 有什么具体区别?
3. 市场数据是怎么来的? 难道不是根据这个模型算出来的吗?还是完全根据供求关系来
的?
4. smile 怎么 |
|
