https://sourceforge.net/p/finplus/wiki/ExcelNotes/Recent changes to ExcelNotesenWed, 24 Jun 2015 06:22:22 -0000https://sourceforge.net/p/finplus/wiki/ExcelNotes/<div class="markdown_content"><p>_Note adhoc notes re questions to be removed at later date. _</p> <hr /> <h2 id="curves">Curves</h2> <p><a class="" href="../YieldCurve">YieldCurve</a><br /> <a class="" href="../Index">Index</a><br /> <a class="" href="../FlatForwardCurve">FlatForwardCurve</a><br /> <a class="" href="../DefaultCurve">DefaultCurve</a><br /> <a class="" href="../BondCurve">BondCurve</a><br /> RepoCurve<br /> <a class="" href="../DefaultCurve">DefaultCurve</a></p> <ul> <li>Peicewise valuation curve for each basis. </li> <li>Discount curves OIS, Eonia, Sonia etc re collateral. </li> <li>FutPXAdj for term basis per basis valuation curve and actual basis. </li> <li>History re indexs and libor (BBA, OIS, Eonia, Sonia etc). </li> <li>Pricing engine for each basis per discount curve. </li> <li>Jump date adjustments. </li> </ul> <p>Roll EOD T-1 curves to SOD curve. </p> <ul> <li>Carry/accretion. </li> <li>Imply rates spot + 1d from EOD T-1 for SOD. </li> <li>IR Fut kept constant. </li> </ul> <h2 id="products">Products</h2> <p><a class="" href="../VanillaSwap">VanillaSwap</a><br /> <a class="" href="../BasisSwap">BasisSwap</a><br /> <a class="" href="../FloatingLeg">FloatingLeg</a><br /> <a class="" href="../FixedLeg">FixedLeg</a><br /> <a class="" href="../ForwardRateAgreement">ForwardRateAgreement</a></p> <p><a class="" href="../FixedRateBond">FixedRateBond</a><br /> <a class="" href="../FloatingRateBond">FloatingRateBond</a><br /> <a class="" href="../ZeroCouponBond">ZeroCouponBond</a></p> <p><a class="" href="../Swaption">Swaption</a><br /> <a class="" href="../BermudanSwaption">BermudanSwaption</a><br /> <a class="" href="../CreditDefaultSwap">CreditDefaultSwap</a><br /> <a class="" href="../Repo">Repo</a></p> <ul> <li>IR futures simple. </li> <li>Bond futures delta underlying re CF on CTD. </li> <li>FX and fixed flows re-discount. </li> <li>CMS use basis swap. </li> <li>Plus many others not investigated yet<strong> </strong></li> </ul> <h2 id="ratesspreads-quotes">Rates/Spreads quotes</h2> <p><a class="" href="../DepoRate">DepoRate</a><br /> <a class="" href="../FraRate">FraRate</a><br /> <a class="" href="../FutRate">FutRate</a><br /> <a class="" href="../SwapRate">SwapRate</a><br /> <a class="" href="../CdsSpread">CdsSpread</a></p> <h2 id="query-trades">Query trades</h2> <ul> <li><a class="" href="/p/finplus/wiki/FinPlusRTDQuery">FinPlusRTDQuery</a> re "<a class="" href="../NoTp">NoTp</a>". </li> <li>AsOf T-1. </li> <li>AsOf T-1 settled bonds and futs netted at open px. </li> <li> <p>P&amp;L performance needs aggregated flows AsOf T-1. </p> </li> <li> <p>New Biz + Changed trades. </p> </li> <li> <p>Contra AsOf T-1 for Changed trades. </p> </li> </ul> <h2 id="query-other-marketstatic">Query other market/static</h2> <ul> <li><a class="" href="/p/finplus/wiki/FinPlusRTDQuery">FinPlusRTDQuery</a> re "<a class="" href="../NoTp">NoTp</a>". </li> </ul> <h2 id="deltagamma-deterministic">Delta/gamma deterministic</h2> <ul> <li>SOD curve, +1bp, +10bp for each point bumped 40+ curves. </li> <li>1000 trades valued x 40 if no flow aggregation. </li> <li>FutPXRisks, basis sensitivities etc? </li> <li>Risk from discount curves minimal. </li> </ul> <h2 id="pl-explainer">PL Explainer</h2> <ul> <li>Deltas/Gammas, basis etc. </li> <li>Trades as per above. </li> <li>T, SOD &amp; T-1 EOD curves. </li> <li>Bond future gross &amp; net basis. </li> <li>Price marked products price changes. </li> <li>Realised flows re cash balance. </li> </ul> <h2 id="funding-and-carry">Funding and carry</h2> <ul> <li>O/N funding on cash balances. </li> <li>PV diff EOD T-1 &amp; SOD. </li> <li>Repos. </li> </ul> <h2 id="booking-tools">Booking tools</h2> <ul> <li>Trade capture. </li> <li><a class="" href="/p/finplus/wiki/FinPlusBooker">FinPlusBooker</a> re "<a class="" href="../NoTp">NoTp</a>". </li> <li>Market data history, builds, static etc </li> </ul> <h2 id="calenders">Calenders</h2> <ul> <li>Biz convention etc. </li> </ul> <h2 id="setting-diarys">Setting diarys</h2> <ul> <li>Upcoming settings and cash flows? </li> </ul> <h2 id="summary">Summary</h2> <ul> <li>FutPXAdj &amp; <a class="" href="../JumpDateAdj">JumpDateAdj</a> published from excel. </li> <li>Curve roll, interim driven from excel for capture, bond px adj?. </li> <li>No aggregated cash flows for re-imply flt flows/re-discount flt+fix flows for new pv painful. </li> <li>Five ccys 5 indexs, 5 OIS curves 20 live curves re basis. </li> <li>For risk 5 currencies re bumped curves with say 20 curve points could equate for each basis to 400 curves. </li> <li>QL has bond curves, but best to risk temp swap with principle exchange matched dates/cpns, solve for bond price by adj yield curve for basis ( YC - BC adj = BC) to get risk against hedge instruments used to build yield curve. </li> <li>Bloomberg for bonds, carry mismatch between bonds marked to spot and swaps pv'd to today. </li> <li>Rolling curves forward each day for a month, build probs can be caught pre trade date. </li> <li>Extra curves without Futures, stub to first fut? and from last fut to first swap? </li> <li>Not just valuation curve risk but risk re discount curves. </li> <li>Bond fut risk on single CTD as per conversion factor. </li> <li>Bond Fut, unexplained cash/fut basis. </li> <li>Counterparty netting/settle reduce admin cost/books size. </li> <li>Cash bonds priced to spot settled or not? </li> <li>PL explain from intra-day snaps. </li> </ul> <p><em>Note for initial cut build curves from spreadsheets for easier diagnostic re new quant library</em></p></div>AnonymousWed, 24 Jun 2015 06:22:22 -0000https://sourceforge.netcccc76fd7b8225d71ddc4548586238ce9802bdfa