The value of Good Explanations

I am a firm believer in the value of good explanations, and I'd say a lot of my time is spent on finding the right explanation or intuition for a process or event (this blog itself is an example). Rather like a good user interface, a good explanation can be the difference between a success … Continue reading The value of Good Explanations

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Everything you wanted to know about Repo but were afraid to ask

Well the title is a bit of an overstatement! This post is actually just a short note with a link to a document which covers the concept of specialness in the repo market, and which is actually a good description of the repo market as a whole. Such things are hard to find, you know. … Continue reading Everything you wanted to know about Repo but were afraid to ask

Facts, rules of thumb, and intuition for swap spreads

The N-year swap spread is defined as: N-yr swap spread := N-yr swap rate - N-yr government bond yield. Since most quants spend much less time on the bond market than on the swaps market,  they often don't come to appreciate the central importance of the swap spread. Here is an unordered list of why … Continue reading Facts, rules of thumb, and intuition for swap spreads