Foreign Exchange Swaps – part 4
Leave your thoughtsMoving the delivery date of a currency receivable The largest segment of the Foreign Exchange (FX) market is FX swaps.... View Article
Author Archives for Fmarketuser
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
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
Leave your thoughtsI 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