Since the beginning of 2018, a well-known phenomenon in crisis period is observed on the market: the widening of the BOR-OIS spread. However, the reason is pretty different this time. Libor? OIS? Short reminder. Libor LIBOR, London Interbank Offer Rate is defined as: “The rate at which an individual Contributor Panel bank could borrow funds, … Continue reading What happened with the US BOR-OIS spread ?
This short tutorial targets everyone who is either getting tired switching between numerous basic functions or would like to get an overview of various functions at the same time linked to a portfolio of tickers. I will explain how to create your launchpad and where you can find samples already done. Build your launchpad In your … Continue reading Build your own Bloomberg Launchpad
As soon as you will get into pretty complex derivatives, for example, you will need to generate correlated assets for pricing purposes. Example of such derivatives can be: Basket options Rainbox options Moutain ranges (created by Société Générale) The most complex amongst these derivatives cannot be priced using closed form formulae, Monte Carlo simulations are … Continue reading How to Generate Correlated Assets and Why?
In this article, I will introduce what is implied volatility and several methods to find it. Here are the points I will try to cover: What is Implied Volatility? Dichotomy Method Newton Raphson Method Example in Python with a set of option prices Models Conclusion Implied Volatility Historical volatility and implied volatility, what is the … Continue reading How to get Implied Volatility?
In this short article, I will try to explain the relationship between commodity prices and both dollar. We typically see a negative correlation between them, why is that and is this always true? Relationship between commodity prices and dollar As I just said, there is a relationship between commodity prices and the dollar. It means … Continue reading Relationship between Commodity Prices and the Dollar
This is a question frequently asked during technical interviews. I will try to answer it through this short article giving examples and the logic behind them. Here are the main points I deal with here: Reminder: Gamma and Theta Black Scholes vs Real World Vertical Spread Conclusion - Smile skew Gamma Gamma is defined as … Continue reading How to be Gamma and Theta positive?
Here is an overview of the questions I will try to answer in this short article: Briefly, what is inflation? How do central banks maintain inflation? How can investors protect their cash flows against inflation? By definition, inflation is an increase in the general price of goods and services over a time period. Its converse … Continue reading How to trade inflation?