Search results

Never traded euribor, so I can't tell you. How are you planning on trading this? I assume you are institutional - can't your execution desk get you the data from their relationships?

They were fixing the shorting end to affect pnl in their swaps books. I would argue there's effect over the whole curve. It's also unclear what it would be like going forward. IRS has been around for quite a long time prior to 08, so I don't see why there would be enough data. It's hard to...

Have you forgot about liborgate?

And loss is just profit with a negative sign in front. Don't be daft.

P.S. what are trying to do? Maybe you can recreate the curve using eurodollar futures?

These are just the agg indices. Barclays POINT gives you access the underlying data, which includes a whole set of data for IRS by tenor points, currency, etc. Unfortunately, you are also right; and it's not fee/open/deposit either. POINT is an extra entitlement for their big institutional...

It's from their dealing desks; Bloomberg's data is compiled from dealing desks too. Am I missing something?

Try JPM's DataQuery or Barclay POINT. I'm pretty sure it's in the latter.

If you want to be critical - there's certainly lots of things to be critical of - at least get the school of economics right. Bernanke and his policies are monetarist, not keynesian. There's a world of contention between the two.

What incentive is there to keep this bit of knowledge a secret? Isn't this pretty common knowledge? Oh... I see... maybe you should try a little less alternative; just a little less.

Oh, just to top it off, the failed patent application for the supposed perpetual motion machine of Joseph Newman is.... right here... http://www.google.com/patents/EP0086776A4?cl=en Pretty nice of the Conspiracy to give us such easy access to suppressed research. Hey loons - the design...

Love it when some actual "article" is posted. It makes pointing out the lunacy of it so much easier. This required about 2 seconds of looking up who joseph newman is: "In 1979, Newman submitted an application for his device to the United States Patent and Trademark Office.[8] The application...

Got any proof of your faculty status? No? Didn't think so. You can shut me up pretty easily if you have any proof to offer at all. And if you know anything about wharton, you'd know the wharton approach is to get doctorate students to TA classes on the cheap. Still have no clue what is this...

Oh No! Youtube videos! That's the standard of proof? And *you* decry the state the education in this country? Do you think Jurassic Park is a documentary? Sure, don't address any of my points. (Why doesn't the guy just sell the free electricity back to the grid, and make TONS of money?)...

Using these monthly numbers, I get 16% annualized risk (ann factor being sqrt(12)). Incidentally, the sharpe I compute is 6.4 - but I assume that's because you are using daily returns to compute sharpe? Okay. Fine. But, with 16% risk and max dd of 3.38%, your max dd is only 0.12x your ann...

Oh I see... this is a not a written mandate - just something *you* know. Gotcha. And this 'one guy' - where is he? You should tell him that people sell electricity back to the grid ALL the time these days. He should hook his machine up to the grid, and make tons of money.... Why doesn't he do...

Um... maybe I'm not familiar with NZ's rates market... but this isn't how carry trades are usually done? NDDRI Curncy gives you the 9-deposit rate for NZD (other tenors are obvious available too)

Certified deposit for Credit Default Swap?

I guess it was deleted... which seems, disappointing - since it appear what I and others have spent time writing goes away with no explanation at all. Can we at least find out when it was deleted?

I know I'm arguing with a nut - so the fault is entirely mine. Educate yourself. The The USPTO Manual of Patent Examining Practice actually states (http://www.uspto.gov/web/offices/pac/mpep/s608.html) "With the exception of cases involving perpetual motion, a model is not ordinarily...