2016-10-22

Did the US Treasury read my blog?

In September 2014, in my blog Change of benchmark overnight index is a difficult task, I described why I thought that a change of benchmark for rate paid on collateral or as a reference for swap is a difficult task. The above blog was a reaction to comments from senior derivative figures indicating the opposite.

Fast forward two years, it seems that my message has been heard by the US Treasury. Yesterday, in another Risk article titled US Treasury: prepare for a post-Libor world (subscription required), one can read:

Daleep Singh, US department of the Treasury:
Any transition away from a dominant benchmark will surely be complex and lengthy[…]

To compare with my blog:
Change of benchmark overnight index is a difficult task.
Run, up to the maturity of the longest trade existing in the world linked to fed funds, two parallel markets.

Risk magazine
Concern among market participants […] A similar move could result in disputes between counterparties about the value of legacy portfolios.

To compare to my blog:
[...]but in the same way all the parties have to agree on the valuation (as an up-front fee or a fee over the life of the trade) impact of the transfer.

My task is not over, I still have to have my rant about the term "OIS discounting" (see the blog referenced above and my multi-curve book) heard better. There is still too much confusion between index referred in swaps, the fixed rate of a swap, the indexed referred in CSAs and the rate used for discounting.

My regular readers will have noticed that this is not the first time a subject discussed in my blog appears in the press a couple of months or years later. Recently it has been the case of FRTB / AD (see  Good news for AD? ) and coupon payment in IM (see Continuous dividend v discrete cash flows)

2016-10-16

Writing!

Picture taken in New York on the “Library Way”situated on East 41th Street.


It summarizes my feeling about writing, except that I have not reach the final stage, the stage of trouble. At least I don’t think so.

Writing your name can lead to writing sentences. And the next thing you’ll be doing is writing paragraphs, and then books. And then you’ll be in as much trouble as I am!
Jerome Lawrence and Robert E. Lee, The Night Thoreau Spent in Jail.

2016-10-03

Public analysis

I have open a new public repository on GitHub.

There was already a repository related to the code associated to my forthcoming book Algorithmic Differentiation in Finance Explained. The repository is:

https://github.com/marc-henrard/algorithmic-differentiation-book

I have made public a second repository, called analysis. The idea of the repository is to share analysis of financial situations by quantitative methods. Instead of simply reporting the description of the results through my blog, I will also made the code of the analysis publicly available when it make sense.

The new repository is available at

https://github.com/marc-henrard/analysis


The first code is the one used in the Imaginary Butterfly blog post.

As usual, comments are welcome.

2016-10-02

Book on its way!

After stalling for a couple of months, my book “Algorithmic Differentiation in Finance Explained” is moving again!

I have send the final draft to the editor this week-end. A couple of months for copy-editing and other technical processing are still required.

Maybe the book will be available by the end of the year. If you are looking for a useful, timeless, (and cheap) Christmas gift, don’t look further!

More details as soon as I receive them from the editor!