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The G20 Summit in Russia ended Friday Sep 6, with world leaders claiming to have found some common ground in calling for “better” reforms to the global derivatives market. Until recently, there was just a glimmer of hope for US-EU cooperation, given the US’ foreign banking rules causing much uproar and dissent in the past few weeks on both sides of the border. At G20, leaders on both sides

The clock is ticking for US banks who are now vulnerable to lose the majority of their European swaps clients due to an imminent Dodd Frank rule that will come in effect a month from now. October’s Dodd Frank regulation will require all US banks to clear their OTC derivative swaps with one central clearing house and at the moment, it will also require their foreign branches in Europe to do the

8/8/2013 was a double red-letter date for FINCAD. It marked 23 years since the company was founded, and it was also the inauguration day of the new FINCAD Asia Pacific office in Beijing, which will support expansion in the entire Asia Pacific region. At headquarters in Vancouver, all of the staff celebrated together—with a Chinese banquet that included 10 courses (!), a dragon dance, and even a

In this series, I have defined the concept of a Product as a collection of obligations to make Payments (and rights to other Products). I was careful to delegate the task of stating the payment amount to another concept, that of an Index. I showed in Part 4 how the Index concept was far more general than the simple examples (underlyings) used to introduce it and in fact covers payoffs of arbitrary

In my last post, I covered some useful specializations of the idea of a Product, but this is far from an exhaustive list. We could keep going, constructing higher-level structures such as that of the Bermudan swaption from Part 5, but this just amounts to further convenience; each such structure conforms to the definition of a Product and can be constructed using the above building blocks. So far