Foreign Exchange Swaps – part 3
Leave your thoughtsThe FX basis The question we seek to address in this blog is which interest rates should you use to... View Article
Author Archives for Fmarketuser
Foreign Exchange Swaps – part 2
Leave your thoughtsIntroduction In the first post we reviewed the theoretical methods used to calculate a forward FX rate. This was some... View Article
Foreign Exchange swaps – part 1
1 CommentI always say that the three most difficult topics in finance to teach are index tranche investing (don’t ask), bond... View Article
Total return swaps
Leave your thoughtsDefintions A total rate of return swap is a fixed for floating swap in which cash flows are exchanged but... View Article
Caps and floors in a risk free rate (RFR) world
Leave your thoughtsDefinition An interest rate cap is an option structure whereby the buyer is protected against rates rising above a pre-agreed... View Article
Understanding theta
Leave your thoughtsIntroduction In some previous posts I had explained the concept of delta and gamma within an option trading context. One... View Article
Understanding gamma – part 4
Leave your thoughtsThis is the fourth post in a series looking at elements of option trading and option risk management. In the... View Article
Understanding gamma – part 3
Leave your thoughtsIn the previous posts we had looked at a delta hedged short call position, which we argued was a way... View Article
Understanding gamma – part 2
Leave your thoughtsGamma is defined as the rate of change of delta with respect to a given change in the underlying price. ... View Article
Understanding gamma – part 1
Leave your thoughtsIntroduction Over the last few posts we have spent a fair amount of time looking at delta as a measure... View Article