PRE-SEF Era Let’s all think back to September of 2009, when the G20 gathered and proclaimed that: “All standardised OTC derivative contracts should be traded on exchanges or electronic trading platforms, where appropriate, and cleared through central counterparties…” At that time, I was in knee deep in the design stages for the business architecture of Rates […]

Computing ATM implied volatility analytically

I recently had to compute ATM implied bpvol (or normal volatility) as well as Black volatility from an ATM option premium. Immediately, I looked for a library function which, more often than not, are written for the general case and make use of a solving routine. To my later irritation, I had completely forgotten that […]

Choosing A Managed DNS Provider

Recently Endurance International Group had a major outage, taking down many websites hosted and managed by providers such as Bluehost, Hostgator and JustHost. Our site was one of those, but of even more concern was that they were also providing our DNS (Domain Name System: mapping human readable url’s such as to IP addresses […]

Think Global, Act Local

We put out a press release today announcing that Tod Skarecky is joining us to head up our US business. Please see Tod Skarecky to head US Business. To add some background around this. For a while now it has become clear to us that the US is our most important market. As we are […]

SDR View, Capped Notional Changes

Those of you that read my blog post SDR, Block Trade Rule, 30 July Update will know that from 30th July, we moved from the interim period to the initial period. One of the main changes introduced was that capped notionals were increased and that blog has the before and after tables for US IRS Swaps. […]

ISDAFIX, Looking for Evidence of Price-manipulation

There has been much recent press on the investigations into ISDAFIX and whether this will turn-out to be similar to the LIBOR rigging scandal. See CFTC’s Path in Rate-Swaps Probe or US Regulators ‘find evidence’ of banks fixing derivative rates. While there is much speculation that millions of emails will have to be sifted through to […]

SDR, Block Trade Rule, 30 July Update

Those of you that read my previous post on the Block Trade Rule will know that on July 30th we moved from the Interim period to the Initial period. This means two significant changes, firstly that the public dissemination of all trades is no longer delayed by 30 minutes, only block trades are delayed and secondly […]