Abstract: The historical movements of the Implied Volatility Function estimated from the swaption price depict the market sentiments as the financial crisis unfolds

Abstract: Viewing the Market using Analytics
July 20, 2009. The 30 year futures contract had a volatile cheap/rich trend through the day, as the Treasury market rallied.

Abstract: Viewing the Market using Analytics
July 17, 2009. Monitoring the cheap/rich values in a volatile market. The continuing rise of rates leads to a higher delivery option in the 10 year contract

Abstract: Key Rate DV01 measures the risk exposure of a trading position or a portfolio to each key rate on the yield curve. The sum of the Key Rate DV01 is the standard DV01

Abstract: Viewing the Market using Analytics
July 16, 2009. Monitoring the cheap/rich values in a volatile market

Abstract: Return attribution is an integral part of a trading/investment process. It provides the feedback control to the traders/investors and validates the risk measures, financial models and market views

Abstract: US Treasury long term rates rose. The net basis of the 10 year Sept contract widened, attributed to the rise in the delivery option value without significant change in cheap/rich