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Meltdown time! Eurocalypse is upon us right here!

I have to look at this in more detail... I have never seen put-call parity argued this way.

How do you mean cheapest?

No probs... Here are my recommendations from an old thread: If you have specific questions, don't hesitate to ask (although maybe as a new thread in the relevant forum?).

I mentioned the two factors that influence the term basis above. Counterparty risk is just one of them. As to the "1y LIBOR vs 1y Euribor" you need to be careful about your terminology. Are you referring to the two contract strips and the fwd curves they represent? If so, it's mostly a...

Edward Pinto has been very thoroughly discredited (see Barry Ritholtz's Big Picture for a variety of posts and links on the subject)... Moreover, his involvement in the FCIC investigation of the causes of the financial crisis is a breach of ethics. Finally, why would anyone believe that a...

UST and agency GC is coming in now... All is well again (for now).

Yeah, but the Swiss have done it successfully in the past (like in the 70s or smth, I don't remember exactly). So maybe they know how to do it. Obviously, all this really hinges on what the Eurotards do (or fail to do), so it's possible that all their efforts are doomed, like the BCB's.

Well, they are somewhat more accountable, but not in the realm of monetary policy, that's for sure. The only bit that matters is the actual reported "mark-to-mkt" losses and those only matter because the cantons got so used to regular payments from the SNB. Now that the SNB isn't making money...

Erm, have you been to Switzerland, Daal? I assure you that it does make a difference and the SNB is worried (and so is the Banco Central do Brasil, as I understand it)... However, it's being counteracted currently by another factor, but I expect the influence of that to fall.

They do give a hoot, especially the SNB, which is very long EURCHF. Moreover, the Swiss economy is sensitive to EURCHF and there have been discussions of some possible exchange/capital controls. To be sure, we're not quite at that point yet, but we're moving ever closer. As to Italy, 6% in...

Yep, the peripheral trainwreck continues... BTP-Bund now wider on the day.

95% (or thereabouts) of that debt is held by Mr & Mrs Watanabe, which makes all the difference in the world.

Hmmmm, so people do call Australians Aussies and New Zealanders Kiwis... However, I have yet to see anyone refer to Canadians as Loonies.

Dodd-Frank isn't anywhere enough. It's not "bad" enough for the banking business.

What's wrong with Swissie? Sometimes I also hear it called "Swizzer" or smth like that...

This is the wonder of the post-crisis rates mkts... There's a thing called 3s6s basis. The presence of this basis implies that the fwd rate equality doesn't hold for rates with a different underlying term. Therefore, you can't recover the 6m mkt rate from a combination of the 3m and the 3m 3m...

I agree that it's well-specified.

The replicating portfolio argument and all those other "MBA-level arguments" are all sort of "locally linear" concepts, i.e. all the conclusions are established as the time intervals and price movements tend to 0. So as long as you assume mkt completeness over these infinitesimally small...

Well, what's a "bond in default" exactly? If a coupon is missed, say, a bond remains a bond. So really nothing fundamentally changes for the futures. However, the pricing does become a lot more interesting, that's for sure.