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FWIW, the FHFA response is here: http://www.fhfa.gov/webfiles/23178/ProPublicaNPRFHFAStmt13012.pdf

There's all sorts of other stuff... Why don't you experiment? Do your delta/gamma PNL explain and observe the residual. If the residual is too large for comfort, you've got a sensitivity to something else that needs accounting for. In my personal experience, you need exceedingly large...

NucPhy (Nuclear Phynance)... And yes, the formula is a correct quick 'n dirty one, but, like all such formulae, it's an approximation. It's obtained simply from the Taylor series expansion, by discarding higher-order terms, because they're assumed to be less significant.

Roger's definitely an Ozzie. Not sure about the other two.

Don't you see it? I get it now, it's obvious!! It's the CFA, that's the secret ingredient! Say, you start with $1000 and you lose 50%. Normal people would end up with $500, but not CFA candidates. CFA candidates end up with $1000/1.5 = $666 (which isn't a coincidence, 'cause CFA is of the...

Hahaha, bwol's mad CFA skills kicking in again, leaving everyone in the dust!!? Nice to see... It's good to know that there's a universe out there where a loss of 50% means you divide by 1.5. There's hope for me yet :)! And, btw, folks, it ain't "communitive", it's "commutative".

It appears that your problem in both cases is IB (carry should be flat to tiny positive for USDHKD; this is what I would get w/my broker here in the UK). I am not really sure what to tell you. You sorta have to make a choice between money and convenience, I guess. Only you can estimate your...

No, sorry, I didn't mean that I see positive carry in IB. I meant that it should be positive, given where the fwds are in the mkt. Can you do FX fwds w/IB? Generally, I'd say IB isn't playing nice and maybe you should consider taking your business elsewhere (if you can). 153bps with CHF...

How is it possible that your carry on EURCHF is negative? From where I am looking it should be smallish positive...

Wow, 5 stars!? Serious praise!? Strong support!? The mind boggles... As to your second point, I confess to being a bit puzzled. Didn't I say previously that I have absolutely no desire to comment on your article? How you figure that I have an agenda against you and that I want to argue...

Well, therein, you see, lies the crux of our "irreconcilable differences". Why would you naturally assume that I, like you, am motivated by a need for recognition of the sort that you desire? I am not an academic and my livelihood doesn't depend on whether I publish (or perish) and get...

Nah, I think I'll pass, for a whole variety of reasons...

Don't be silly... Every time I tell you you're wrong, I go into excruciating detail and attempt to explain to you why what you say makes very little sense. Problem is that you don't listen, which means there's no point in me commenting.

Huh? Amico, you really need to get your sh1t together... What price do you think MFG traded at if it weren't the mkt price? There was no "give away program". MFG had to liquidate a portfolio of arnd EUR 2bn worth of peripheral bonds that normally trade in the mkt in EUR 10mil clips. So...

It's really not quite that simple...

:)

Why anyone would trade EURDKK outright is completely beyond me, but there's a few brokers out there who offer it. I generally like GFT.

The calculations you use don't really help you do anything of the sort, unfortunately. If only things were that simple, we'd all be bajillionaires in no time flat.

tj, you still arnd? May I remind you of this old thread? Lemme give you a little update. It's now January 2012 and the state of the UST mkt is as follows: Mid yield on the current 2y note: 21bps Mid yield on the current 5y note: 76bps Mid yield on the curent 7y note (sorta the underlying...

He's made an absolute killing w/these BTPS. 5y went 300bps pretty much in a straight line, since they bought it.