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IMHO, it should be whatever rate you fund yourself at (e.g. 3M LIBOR)... There's an alternative view that suggests using the rate used by the majority of mkt participants. Which one to choose is a tricky question that's been discussed here in an older thread.

He-he-he, this is some funny stuff here...

I'd be skeptical about these large estimates. The structure of the debt varies and, in fact, a large proportion of it (I think arnd 50%) was structured through local subsidiaries that don't have a legal call on the parent's assets. So it's really not that horrible... Moreover, the Swedish...

Take with a pinch of salt... Bill Gross is long and loves to talk his book.

So we've just had this non-news: *U.S. ALLOWS 10 OF BIGGEST BANKS TO REPAY $68 BLN OF TARP FUNDS *GEITHNER SAYS REPAYMENT `ENCOURAGING SIGN OF FINANCIAL REPAIR' I don't wanna provide any more fodder to the conspiracy theorists out there (I am not one of those myself), but has anyone...

Pls take this Bloomberg crap with a big grain of salt... The historical average they're referring too is way too low and LIBOR/OIS is never going back to those pre-crisis days. Thus, it's actually not too high now, really...

They would, unless everyone knows these people are total idiots, whom everyone ignores anyway... In that case, suing these people would be as much of a waste of time as listening to them in the first place...

What exactly is your point? That the bond mkt is always right?

I know... It was a rhetorical question.

Hahaha, isn't this the same guy that supposedly obtained the banks' stress test results and "leaked" them? Nice credible source that...

This account sounds plausible at times, but that doesn't make it true. In my view, it's waaaay too simplistic of a summary and completely glosses over the complicated politics of the various relationships in Washington and arnd the world. The reality is really not that simple. Actions don't...

Yep, we agree 100%... I am just going on the assumption that the OP's original question is sort of a Black-Scholes brainteaser, rather than a question about a real-world position. It just sounds like an interview question to me, which is why I am attempting to respond to it in the same vein.

Huh? Theta is not an input. It's one of the partials. Last I heard, option prices in BS are not defined in terms of theta. Thus, what the answer depends on is the exogenous inputs, i.e. time to expiry, vol etc, as I have mentioned already. Those inputs also happen to define the theta. To...

Herr LVM, I am referring to delivery of cash bonds, specifically. I don't play in any physical commodity mkts. Delivery doesn't happen too often, to be fair, but it does happen and I have never had issues with it (actually, happened once, when an idiot colleague forgot that he was short into...

What does this have to do with skew and theta? This is a theoretical question about Black-Scholes, which assumes constant vol. The answer is that it depends on the inputs (sigma, r, etc). Do you have access to Excel? If so, you need not be bovvered with the PDE and will just need to...

Dude, I am referring to the roll not being too exciting (relatively speaking)... Sorry for not being too clear. No, no cattle or lean hogs for me. I take delivery whenever I have a basis position and don't wanna do the roll.

Yep, indeed, it does get quite interesting... In US futures it hasn't been too exciting of late, but there's been all sorts of shenanigans in GBP and EUR (esp the gilt).

Hahahaha, why look at Philippines? I hear that Latvian T-bills have been going cheap... That's the place to invest, if you're bold...

Huh? This makes no sense whatsoever...

I agree with this... The whole purpose of seasonal adjustments is to smooth the series out. Specifically, the logic of not including seasonal losses in the tally makes sense because these are the jobs that come back later in the year. Therefore, it makes sense including neither the losses nor...