What tools are missing if I start a hedge fund today ?

[sjfan]

Um... I actually do (feel free to quiz me on c#; back in the days I wrote my own CDS pricing before the banks made them available)... it's fairly easy to set up a monitoring program for covered int arb; the only problem, again, is that the pricing formula that the entire street uses preclude the existing for a covered interest arb.

Again, are you really this dense?

Quote from bwolinsky:

I understand how to do it, but you obviously don't program, so we're at an impasse.

 

[bwolinsky]

Quote from sjfan:

Right away, boss...

(seriously... don't be such a sore loser; there's no shame in no understanding how a particular trade works; to be willfully annoying about it is why you'll never get past entering data; now you go back to settling trades and sending confirms)

I'm way past entering data, and make a very good living.

 

[bwolinsky]

Quote from sjfan:

Um... I actually do (feel free to quiz me on c#; back in the days I wrote my own CDS pricing before the banks made them available)... it's fairly easy to set up a monitoring program for covered int arb; the only problem, again, is that the pricing formula that the entire street uses preclude the existing for a covered interest arb.

Again, are you really this dense?

Show me the program that's available then. I'm not doubting you, so where can I get this program?

 

[sjfan]

Dude, this stuff is traded over the counter; You have to call up your counter party and get a quote for a size(for example), at which point he'd be an idiot not to run his FRA pricing to give you an arbitrage free price

Quote from bwolinsky:

I'm telling you that they exist for a second, and the only way to get it is through automation.

 

[sjfan]

(1) why would it be publically available? (and seriously, who would actually bother writing it - it's like writing a program to buy at the bid and sell at the ask at the same time - it would never make a single trade), and (2), again, there's no automatic execution for this stuff.

Quote from bwolinsky:

Show me the program that's available then. I'm not doubting you, so where can I get this program?

 

[bwolinsky]

Quote from sjfan:

Dude, this stuff is traded over the counter; You have to call up your counter party and get a quote for a size(for example), at which point he'd be an idiot not to run his FRA pricing to give you an arbitrage free price

Hmmm.....I'm still thinking there is a way, here. It was my impression the quotes were given as well as the rate. Is that not the case? If so, then, yes, it's impossible.

 

[sjfan]

What do you mean? I'm not sure I understand this statement

Quote from bwolinsky:

given as well as the rate. Is that not the case?

 

[bwolinsky]

Quote from sjfan:

(1) why would it be publically available? (and seriously, who would actually bother writing it - it's like writing a program to buy at the bid and sell at the ask at the same time - it would never make a single trade), and (2), again, there's no automatic execution for this stuff.

Hmm...well I appreciate your time, sjfan. I've never actually seen a bloomberg terminal before. I've only seen valueline, which I don't believe is as useful. So much for that idea then. It was a problem in Level II of the CFA curriculum, and hard at that.

 

[bwolinsky]

Quote from sjfan:

What do you mean? I'm not sure I understand this statement

The part of the covered interest rate parity isn't just the forward price, but the rate, that allows arbitrage. I need to know what rate I'd get for lending and what rate I'd get for borrowing. I guess it's kind of implied by the FRA, of course, but I'm thinking there's avenues for obtaining different lending and borrowing rates beyond the OTC market here.

 

[sjfan]

No worries - I think it's on CFA I too; That pricing formula that's on CFA for FRA pricing - that's used by everyone. And since all the inputs are traded, it's guaranteed to have no possible arbitrage (again, unless someone really screwed up; I'm sure it happens, but not at all very often) - and the over-the-counter nature makes it a lot less likely.

Now that we've successfully hijacked the thread... sorry to the OP

Quote from bwolinsky:

Hmm...well I appreciate your time, sjfan. I've never actually seen a bloomberg terminal before. I've only seen valueline, which I don't believe is as useful. So much for that idea then. It was a problem in Level II of the CFA curriculum, and hard at that.