Two Curves Upfront

At the end of last year Peter Caspers released a short paper Normal Libor in Arrears. I could not help but wonder if this was not the result of the update to a library which had previously used Black’s model for the convexity correction. In the summer of 2011, like many others, I had to […]

Central Counterparty Clearing Workshop

The Dodd-Frank Act in the US and the EMIR Directive in Europe have mandated the requirement for Interest Rate Swaps to be cleared at Clearing Houses. One of the most significant differences in market practices from this change is the requirement to post collateral to meet the Initial Margin requirement. “Initial Margin for Cleared Swaps” […]

Business cards, Libor-rigging and Self-Interest

Going through my old business cards the other day, I spotted one for Tom Hayes, a Short Term Interest Rate Derivatives trader. Immediately it set me thinking whether this was the same Tom Hayes mentioned in the recent Libor-Rigging settlement at UBS. An Internet search did not throw up any categorical evidence that it was, […]