My Rates Notebook.

Sharing my thoughts on Rates, Trading, Derivatives, XVA, Python

Rates, Volatility and the Virus: Visualisations of key market drivers in 2020

We make a visual recap of 2020 in the rates market. For this we utilize the Plotly package and its various interactive figures.

Posted by Oliver Kahl on Wed, Dec 30, 2020
Tags: rates, volatility, swaptions, swaps, plotly, visualisation

Switching to €STR: “Big Bang” troubles for Swaptions

EONIA is replaced by €STR. This has major implications for interest paid on collateral. While vanilla swaps are well handled in the transition, swaptions steer towards disruptive value transfers.

Posted by Oliver Kahl on Sat, Feb 29, 2020
Tags: swaptions

An introduction to the Plotly Dash Library

Plotly is celebrated for its beautiful interactive graphs, figures and tables. Cufflinks brings in the finance tools. Dash let you combine all those to powerful web apps.

Posted by Oliver Kahl on Tue, Nov 27, 2018
Tags: python, plotly, cufflinks, dash, visualisation, quant trading, technical analysis

Collateralized Cash Price — An introduction to the new settlement standard in Swaptions

Collateralized Cash Price will be effective on 26th November 2018. We discuss what has to be done to be well prepared.

Posted by Oliver Kahl on Wed, Nov 7, 2018
Tags: swaptions, python, cash vs. physical
Series: Cash vs. Physical Swaptions