マイクロ・サービス: ISDA SIMM センシティビティ・カリキュレーター
ClarusのAPIにはSIMMのセンシティビティを計算する関数があり、FpMLやCSVトレード・リスト・ファイルを含む多くのフォーマットが利用可能だ。
計算結果はISDA SIMM CRIFファイル・フォーマットに出力される
関数は一般的な言語、すなわちPython、R、C＋＋、Julia、Java等の言語で実行可能だ
SONIA Reform – What is Going On?
There are two parallel branches to the SONIA reforms. One is to modify how the rate itself is being set. The other is to promote its’ use as the near Risk Free Rate for GBP derivative markets. We take a look at current SONIA markets. *Updated 18th May 2017 to correct the use of trimmed-mean (not median) […]
April 2017 Swaps Review
Continuing with our monthly Swaps review series, let’s look at volumes in April 2017. Summary: SDR USD IRS price-forming volume > $1.8 trillion gross notional SEF Compression activity in USD IRS > $250 billion USD OIS volume was > $2 trillion Both USD IRS and OIS are well down from recent highs EUR IRS and OIS volume is mostly Off SEF SEF USD, […]
CCP Disclosures 4Q 2016 – Trends in the Data
Central Counterparties recently published their latest CPMI-IOSCO Quantitative Disclosures and in this article I will highlight a few of the key trends, similar to my article on 3Q 2016 trends. Background Under the voluntary CPMI-IOSCO Public Quantitative Disclosures by CCPs, over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk […]
KRW and INR Swap Clearing
The CME have announced they are planning to clear Korean Won (KRW) and Indian Rupee (INR) interest rate swaps in the near future. I wanted to have a look at what these markets look like. So first things first, I grabbed all trades for non-G4 swaps on the US SDRs, year-to-date. Did this for both […]
Euribor Reform – What Is Going On?
European Money Markets Institute (EMMI) announced on Thursday 5th May that they will reconsider their plans to move Euribor to an entirely transaction-based fixing. It was previously expected that the current quotation-based system would change sometime this year to a transaction-based fixing. The EMMI now plans to look into creating a hybrid quotation/transaction fixing as […]
How Big Is The Asset Swap Market?
We identify Asset Swaps trading in USD and EUR in the SDR data. Different types of Asset Swap package are active across different markets. Understanding these differences allows us to examine the data accurately. In the US, about 15% by risk of Libor-based swaps are linked to Asset Swaps. In Europe, over 90% of non-standard Euribor-based swaps are […]
Swaps Data: ETD vs OTC, USD IRS, OIS and NDF
Highlights of this months Swaps Data Review article include: Initial Margin at LCH, CME, ICE, Eurex (as of Dec 31, 2016) ETD IM of $191 billion and OTC IM of $171 billion With ETD and OTC splits for each of the four CCPs LCH SwapClear Client IM for the first time just exceeded House IM SwapClear […]
Microservices for absolute beginners
After a career in Capital Markets enterprise software, I recently joined Clarus and other than their great blogs, my reason for joining is that I buy into the vision of cloud based technology as the future for our domain. Micro-services delivering sophisticated analytical computation, easily consumed into a firms existing infrastructure, applications and Excel, will be […]
マイクロ・サービス: FRTB モデリング・リスク・ファクターズ
FRTB規制は、ノン・モデラブルなリスク・ファクターは、キャピタルチャージにおいて、ストレス時のアドオンを賦課することを明示している
リスク・ファクターをモデラブルとするためには、持続的に利用可能であるリアル・プライスであるかどうかのテストにパスしなければならない