Q: Does your system cover tenor based risk?
Q: Between Equity vol and FX vol systems, do you monitor the same greeks?
%%A: in eq, it's about delta gamma vega and theta. In FX, I believe these are all important. But I guess rho is probably more important than in eq, since FX is very sensitive to interest rate and there are 2 interest rates in each currency pair.
A: delta/gama/vega/theta are the big 4. rho is insignificant in both eq and FX. See http://bigblog.tanbin.com/2011/06/rho-of-vanilla-fx-option.html
Q: You mentioned that you build thousands of Libor yield curves each day? How do you do that?
%%A: using deposit rates, futures rates, swap rates, and year-end turns
Q: You mentioned EOD marking that feeds into downstream PnL attribution. How do you do that?
What Unit test tools did you use?
What's a good unit test?
In java how do you compare 2 strings?
Why is java string designed to be immutable (c++?) ?
Q: Between Equity vol and FX vol systems, do you monitor the same greeks?
%%A: in eq, it's about delta gamma vega and theta. In FX, I believe these are all important. But I guess rho is probably more important than in eq, since FX is very sensitive to interest rate and there are 2 interest rates in each currency pair.
A: delta/gama/vega/theta are the big 4. rho is insignificant in both eq and FX. See http://bigblog.tanbin.com/2011/06/rho-of-vanilla-fx-option.html
Q: You mentioned that you build thousands of Libor yield curves each day? How do you do that?
%%A: using deposit rates, futures rates, swap rates, and year-end turns
Q: You mentioned EOD marking that feeds into downstream PnL attribution. How do you do that?
What Unit test tools did you use?
What's a good unit test?
In java how do you compare 2 strings?
Why is java string designed to be immutable (c++?) ?
