Swaption
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
Local stochastic volatility: shaken, not stirred
Dominique Bang introduces a novel LSV approach to term distribution modelling
MVA: Forecasting initial margin for client trades and dynamic hedges
In its latest margin survey, the International Swaps and Derivatives Association reported that initial margin (IM) collected by the top 20 firms increased by 22% to $130.6 billion at the end of 2017. As new transactions become subject to IM requirements,…
RFR valuation challenges
A new system of interest rate benchmarks for all major currencies is emerging. These new benchmarks will replace interbank funding rates with risk-free rates (RFR). This article by LPA focuses on valuation challenges during the transitional period to new…
Optimisation services edge closer to EU clearing exemption
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
Podcast: Antonov on MVA, algorithmic differentiation and model validation
StanChart quant proposes new technique to compute MVA quicker
Hedge funds turn to curve options for steepener trades
Previous bets on US interest rate curve flopped following unexpected flattening
Formosa swaptions trade under pressure from new Taiwan rules
Limit on investment by insurers is hitting issuance of Formosa bonds and related options
Brexit threatens some swaptions trades
Force majeure clauses could be triggered on physically settled contracts
Eonia woes hold up euro swaptions switch
Eleventh-hour derailment for project that has been in the works for a year
Swaptions vol modelling tweak opens up pricing possibilities
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
BAML replaces head of global rates
Gupta and Stanley named co-heads as Roberts exits
Swaptions CCP basis arrival raises wider valuation questions
Halting rollout of new prices highlights potential weak points in valuing illiquid products
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
Podcast: Roos on swaptions arbitrage and benchmark reform
Benchmark reform means additional work for rates quants
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
Broker hid yen swaptions basis after trader backlash
Japan’s Totan had been first to show volatility basis; sources speculate traders wanted to avoid re-marking books
US swap rate failed during volatility rout
The Ice swap rate was not published on February 6 due to a lack of electronic prices during equity turmoil
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Clearing conundrum – Forging a solution for the bilateral market
Central clearing has had a beneficial effect on the over‑the‑counter derivatives market, but for some products the road to a cleared model has not been smooth. Capital, operational and margin costs of the non-cleared market have increased, while…
Swaptions expiries complicate portfolio optimisation runs
triBalance and Quantile users call for better post-trade co-ordination between dealers