全球货币统一

终于痛下决心，放弃了使用Google域名转换功能，可惜啊，我刚申请了www.mathfinance.cn，这么好的域名，充分显示了数学金融的本质，本来结合Google该功能做成我的一个金融工程博客，分享讨论在金融工程工作和学习中的一些心得体会，可惜这个功能被国内封了，只有国外才能直接登入，唉，谁让Baidu有政府背景呢。郁闷，只好转到原始Blog地址，感觉www.MathFinance.cn比www.QuantHR.com更好，毕竟咱不是猎头，继续用Mathfinance做什么用呢？大伙儿给点建议。希望以前收藏过Mathfinance的朋友重新收藏本页，谢谢哈。




最近在和同事做一些FX currency option的产品，不同货币之间倒来倒去，甚是麻烦，Volatility time和Interest rate time根据Currency year basis不一样而改变，尤其是日元，本来你丫的Year basis就跟别的货币不大一样了，你还瞎凑什么热闹，搞了个Direct Quote （直接标价），弄的Day Count头大，还搞假期调整，统一全球货币就没这么麻烦了，Sign。‘灭了小日本就没这么多事儿’，同事嘀咕着，呵呵，是啊，等咱人民币彻底放开，金融产品多了，哪天有了RMB Swaption, CMS，你们就知道麻烦了，别说假期跟你们不一样，光日历就2个，而且每年还不一样，农历不把鬼佬给折腾疯掉，心中暗自窃喜……

本期推荐一本书，是关于FX Derivative的，写的不错，“FX Options and Structured Products”，作者在业界干了几年后回到学校做研究，所以写的比较实际，不像有的书那样理论化，搞深沉。目录为：

1 Foreign Exchange Options.

1.1 A Journey through the History Of Options.

1.2 Technical Issues for Vanilla Options.

1.3 Volatility.

1.4 Basic Strategies containing Vanilla Options.

1.5 First Generation Exotics.

1.6 Second Generation Exotics.

2 Structured Products.

2.1 Forward Products.

2.2 Series of Strategies.

2.3 Deposits and Loans.

2.4 Interest Rate and Cross Currency Swaps.

2.5 Participation Notes.

3 Practical Matters.

3.1 The Traders’ Rule of Thumb.

3.2 Bid–Ask Spreads.

3.3 Settlement.

3.4 On the Cost of Delayed Fixing Announcements

4 Hedge Accounting under IAS 39.

4.1 Introduction.

4.2 Financial Instruments.

4.3 Evaluation of Financial Instruments.

4.4 Hedge Accounting.

4.5 Methods for Testing Hedge Effectiveness.

4.6 Testing for Effectiveness

A Case Study of the Forward Plus.

4.7 Conclusion.

4.8 Relevant Original Sources for Accounting Standards.

4.9 Exercises.

5 Foreign Exchange Markets.

5.1 A Tour through the Market.

5.2 Software and System Requirements.

5.3 Trading and Sales.

Bibliography.

感兴趣的朋友可以去看看



FX Options and Structured Products