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the "long turn" is not a good trade anymore, since the fed has been really washing the market over the turn weekend. i'd avoid going short too, since if it'll rain, it will pour.

ok, here you go with the simple one: for each contract in your strip, increase futures rate by 1 bp and calculate the new implied eurodollar yield (product of all discount factors). Increase the note yield by the change in implied ED yeild from step one, calculate new price of the note. Take new...

well, cheap vs rich in a nutshell is a relationship between implied and realized vols. Historically you can evaluate it using volatility cones and a few more methods, in a sense you need to see wether you think you'll make up your theta bleed on gamma. i'll send you an message with some XL...

There was a point in my sorry life when I fed myself by doing vol carry trades on euro$ options. Loved it. What I was (and still am) amazed about is how cheap midcurves are - any one cares to offer an idea? I have one, but will share it tomorrow.

was my P&L or how big was my bonus? I ain't Ben Brahim...

you dont happend to have a URL for that? Actually, while we at it - does anyone know of a service that provides a cheap demo account that allows to trade CBOE or CBOT instruments (CBOT would be better)? Or, may-be LIFFE or TIFFE demo account? My significant other has been looking for such a...

These are questions that are very basic, any serious fixed income market practicioner would know the answer. As for "your firm" and "three years" - give me the name of your firm, I will ask around if anyone ever heard of it, or for now I maintain you have no clue what you are talking about...

off-topic: when they start trading parisian and passport on interest rates, i will retire :D

trade and hack a bit. For a prop trader in exotics it is hard to get by without hacking some models. Used to do much more of that when i was at my previous place of work, may all my coworkers rest in peace. all, I am not sure how we got to this place, I got carried away - I apologize to...

I can tell you exactly what my area of expertise is - exotic FI options. If you are going to boast that you work for a largest bond trader - explain to me what is the difference between joint and separate stripping of the credit spread curve? Also, explain to me why bemudan options on bonds...

Dude, I am working for a place that pays that much NOW, not a few years ago. We are still hiring, in fact I saw someone being interviewed today (i am not in the loop for that anymore). As for crap - well, every job has crap, if just sounds like your friend is cranky. Everyone we hired in the...

Name at least wall street firm that is paying less to the senior level quants and quant developers. All of them are employees. Now, people in the back office and pure IT surely make less, but we are talking about quants here, right?

Like Russia, for example? The fact that 72% of americans have a college degree does not mean that they have good education. If you look at any science/math PhD program, you will find disproportionate number of immigrant students. Since you declined to specify what your "very advanced...

An example from a headhunter mailing list: PHD QUANT ANALYST- C++/VB - CREDIT RISK Salary: $250++ Established financial institution has an outstanding opportunity to join their Structured Finance team in a quantitative analyst role. You will have an outstanding academic record, ideally a...

The numbers ARE typical, any C++ developer with 4-5 years of industry experience and knowledge of the business can make ~$250K and any quant will be making 300K after the same 4-5 years after joining the industry. Junior people are hired at about 100K (total comp). Anyone who is hiring financial...

I would not represent a job at a major IB as something "Americans steer clear of " nor I would call it "sweatshop conditions". In fact, the median salary in the quant group is somewhere around 300K and the median salary in the development group is about 250K. Even given the 50-60 hour weeks, are...

yep, major i-bank. i would not worry about Columbia much, since the math and science education is not up to the level of India, China and Russia. Outsourcing to Nigeria or Eqador would be even cheaper, but the number of competent developers waiting to be found there is rather low. PS. I...

Not true. A regular programmer costs (!!) about $25 per man/hour of development in Moscow. It's not too little, especially considering that same work here can be done for some aprox $35. However, the issue of qualification comes into play - finding qualified people for reasonable (and even...

Hmm..25 to 1, you say, let me look around swaps desk 2 to 1 IR options desk 3 to 0 m. derivs 0 to 2 not too bad...

Let's have a fight - I say that midtown is the place to be, nothin beats Grand central and QBorogh bridge area. ANY true Wall Street veteran knows that there is no better place to celebrate your bonus then Smith & Wolinsky (it certainly is harder for vegetarians among us). PS. In any case...