Khandrika Capital Markets

USD Yield Curve building using Python and Quantlib

Yield Curve is fundamental building block in the pricing of Interest rate Derivative products.An Yield Curve constructed using US governmen...
European style Interest Rate Swaption pricing using - Python-Quantlib

In previous posts, I have described how to construct USD LIBOR Swap Yield curve then we have looked at how to price an interest rate swap...
USD swaption skew

Skew in 2010 2010 year dollar fixed income markets weathered various events ranging from hopes in recovery of housing market, Euro curren...
Interest Rate Swap - Pricing - Python +Quanlib

In previous note we have understood basic building blocks of an Yield Curve. Now using that Yield Curve we will look into modeling an Inte...
Pricing an Equity Linked Note - Python-Quantlib

Pricing an Equity Linked Structure Note By Karthik Misra This Structure note, created by Barclays, has an aggregates nominal amount ...
High charts plus Wordpress

I have struggled 2 days to be able to work with high charts with Wordpress. I guess to save time and effort for someone new who wants to do...
PPNR modeling – Dark art or Science

Everything in the nature becomes science when we understand underlying dynamics and methodology lest we think it is dark art. PPNR (pre-pro...
CMS spread options and Digitals - Market Nuances

CMS spread otions and Digitals (General facts) ECB has raised the amber flag with regards to fighting inflation arising due to persistent...
Swaption Skew at Febraury 28 2011

Libor Swap Market Skew takes different shapes as of February month end. The profile of this skew for Receivers vs payers looks as shown in a...
Volcker Rule - Some Facts around Quantitative metrics

Volcker Rule is another regulation aimed at restraining banks from engaging proprietary trading. This rule has various components to it. So...

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