Pricing Derivatives with Caps and Floors
At GoldenSource we are working on some projects that involve the sourcing and validating of cap-floor data. The data primarily…
Charlie Browne
Fitting the Yield Curve
Quantitative transformations of different sorts are often in-scope for market data centralization projects. One generic type of transform is fitting…
The Multi Curve Approach Post Financial Crisis
All of our Curve Master implementations involve interest rate curves of different types. After the global financial crisis of 2008,…
Unlocking the Complex World of FX Options: Simplifying Quoting Conventions
In some of the market data projects we have been working on recently, FX volatilities is one of the quote…
Understanding Regulatory Capital in the FRTB Document
I have recently written several notes about different aspects of FRTB. I also looked at the concept of regulatory capital,…
European Regulators Issue Guidance on Risk Data Aggregation & Reporting (RDARR)
The European Central Bank’s guidance on risk data aggregation and risk reporting (RDARR) issued in July, if followed, would produce…