Recent content by rookie77

thanks Martinghoul!

so if i wanted to fund a long position in corp bonds (and not use my own money), I would have to borrow the capital through some sort of loan? And the borrowing rate is directly correlated with the swap rate and that is why i, indirectly, have spread risk?

what do you mean by funding yourself with respect to having an outright long position in 10 yr Treasuries?

1. Do you only have basis risk when hedging? For ex. you are long bond futures and short cash bonds then you have basis risk? And if you are long both bond futures and cash bonds, there is no basis risk? 2. If I am long the 10 yr treasury, do I have spread risk? My guess is no since it...

swaps and treasuries?

is there a difference between the two? i've read some threads and searched online and am still not sure. could someone please clarify for me (maybe with an example) what is basis risk? thanks

much thanks!

thanks martinghaul. i will check out those books. as a rough estimate, i was told the following answers and would appreciate your thoughts: 1. the delta of the swap expressed in bpv's multiplied by the basis pt move in the swap curve will give you a rough P&L 2. if you are long the...

i have an interview for an interest rate derivatives middle office role. i would appreciate any help for the below questions that i've received in past middle office interviews (but bombed): 1. How do you calculate the P&L for interest rate swaps? 2. How would you hedge a swaption? 3. How...

i have an interview for an interest rate derivatives middle office role. i would appreciate any help for the below questions that i've received in past middle office interviews (but bombed)" 1. How do you calculate the P&L for interest rate swaps? 2. How would you hedge a swaption? 3. How...