Recent content by dubula11

basically today you would have taken the trade and you would still be in it, sounds a bit dodgy to me and if you entered the trade today at us open your r:r would be lower or equal to roughly 1:1 but i see r:r cannot really be applied to this system its hard to really applyr:r though as we do...

martingoul this may sound a little sill to you but do you know how spreads work in the p& attribution proccess for plain swaps. Do you know the basic explanation of spreads and how they are accounted for and calculated in a swaps trade and over the life of one. would be good to here a sound...

one of the traders my mate at work book of runs for, (well its a team of 4 traders) hes lost on average 400k a day for the last 3 weeks, its f**ing crazy, working for a bank you realize the amount of dodgy stuff that goes on there are systems that some of the colleagues i work with do not no how...

Thanks!

Hi guys, started this thread andi i havnt had much chance to come back im so f**kin busy with this new job however, i though i would come back to share my experience and maybe we can get dialogue going on things i dont get and maybe i can answer questions for people who may want a better...

thanks for the reply martinghoul. I do this on a system in my dayjob and we bump one rate or bucket on the curve to derive what will happen to the risk on a particular book. However if i say shifted the 3 month rate by 1 basis point it will not only give me the delta risk in pv for that point...

Hi i was reading about interest rate risk and was looking to get a discussion going. I have been reading abot deriving risk from a yield curve where the yield curve and discount factors are derived by cash, futures and swaps securities. Trying to find the delta risk of a book of i/r deriv...

thanks for that!!

thanks for the response will any of these books include examples on how to measure risk and how to attribute changes in the p&l to changes in delta vega etc. risk sensitivities i.e what happens to a fixed leg when the i/r changes by 1 basis point what happens to pv's dv01??

Hi guys I.ve landed a role in the middle office of an ib and just started in rates and the role is risk and p&l, basically ill be on the flow books in swaps. Could ne1 recommend any books or anything to prop up reading. Basic role is deriving p&l of a book through downloading pv's deriving...

thanks guys i think youve pretty much told me what i will need to know for the interview, iv gone over, competencies, what i would bring, motivation, options swaps, why ib and bank background, so i think im well prepared. Just wanted to know what actually is meant by a trade break and what the...

thanks for the response gamma, the role is basically what you have stated but will be in the rates department of middle office, id suppose id be looking after at interest rate trades, i.e. swaps and options, the job spec says id be overseeing risk, p+l, reconciling trade breaks and also updating...

any responses would be appreciated, have done a search but cant find anything on this area, anyway thanks.

hi guys just wondering if any of you can offer any advice about and interview i will be having soon. its the position of middle office book runner for a well known investment bank. I know I will probably asked technical questions about swaps and options and also you basic competencies but i...

i think you buy the stock and crest holds it a depositary interests eletronically, at least i think that is how it works not sure about costs thoiugh