%%#1sustainable value-add(#1reliable career path):hands-on dev

see also letter to German (post)

Hands-on development, analysis, design, debugging, maintenance, prod support … I get things done. My job interview performance is even better than project performance.

I can do this till age 65, even though my memory will decline.

This is a typical white-collar job, knowledge intensive, and pays “reasonably well” in SG or China but “very well” in US and Europe.

All other roles I am less confident about, including management, Business Analyst, quant research, DBA, data analytics.

Given this #1 thingy, my future belongs to the US.

In SG, at age 50 if I’m given a programming job along with some 20-somethings, I’m likely to be more competent than them, but as Miao and Xiao An pointed out hiring managers may not give me a chance. The Singapore government won’t help me find a high-paying programming job.

(2015)where in c++am I growing – GTD^IV

Short and sharp answers preferred
Q: where and how fast am I growing in c++ IV?
A: EPI300/Google style coding test, esp with STL, shared_ptr etc
A: the HFT interviews revealed my weaknesses in some areas.
Q: where and how fast am I growing in c++ zbs
A: [[safe c++]]
A: [[21st century C]]
A: Learnt to question what low level details are more than academic
A: Learnt the practical value of c++ integration with excel, python etc
A: Learnt a bit more about instrumentation including debuggers, esp. on Windows
A: Learnt a bit more about boost smart pointers. There are many of them, because there exists different needs.
A: Learnt a bit more about IDE
A: make, cmake and friends

dummy’s PCP intro: replicating portf@expiry=>pre-expiry

To use PCP in interview problem solving, we need to remember this important rule.
If you don’t want to analyze terminal values, and instead decide to analyze pre-expiry valuations, you may have difficulty.
The right way to derive and internalize PCP is to start with terminal payoff analysis. Identify the 2 replicating portfolios, and apply the basic principle that “if 2 portfolios have equal values at expiry, then any time before expiry, they must have equal value, otherwise arbitrage”.

earning/paying the "roll" in FX swap

Tony gave an example of sell/buy NZDUSD.    NZD is high yielder and kind of inflationary. Therefore, far rate is Lower. We sell high buy low, thereby Earning the swap points.

Buy/Sell USDJPY is another example. USD is high yield, and inflationary, so far rate is Lower. We buy high, sell low, therefore paying the swap points.

## types of Work to slow/speed brain aging

This is an important topic for the researchers. As laymen, I will just reflect on my personal experience — looki.

What kind of activity is considered “work”? I feel it’s the responsibility or commitment, obligation, consequences …

Most but not all the “work” is tiring. I feel creative work can help keep the brain young.

IT — Learning a new tech in body-building mode doesn’t feel tiring to me, but how about to XR?
IT — A big chunk of everyday IT work (including troubleshooting) is partly creative and investigative. Can be brain-boosting.
Kids doing homework – can be tiring but at their age it won’t speed brain aging. How about adults?

paradox – FX homework#thanks to Brett Zhang

label – math intuitive

 

Q7) An investor is long a USD put / JPY call struck at 110.00 with a notional of USD 100 million. The current spot rate is 95.00. The investor decides to sell the option to a dealer, a US-based bank, on day before maturity. What is the FX delta hedge the dealer must put on against this option?

a) Buy USD 100 million

b) Buy USD 116 million

c) Buy USD 105 million

d) Buy USD 110 million

 

Analysis: The dealer has the USD-put JPY-call. Suppose the dealer has USD 100M. Let’s see if a 1 pip change will give the (desired) $0 effect.

 

at 95.00

at 95.01, after the 1 pip change

pnl

value (in yen) of the option is same as value of a cash position

(110-95)x 100M = ¥1,500M

(110-95.01) x 100M = ¥1,499M

loss of ¥1M

value (in yen) of the USD cash

95 x 100M = ¥9,500M

95.01 x 100M = ¥9,501M

gain of ¥1M

value of Portfolio

 

 

0

Therefore Answer a) seems to work well.

 

Next, look at it another way. The dealer has the USD-put JPY-call struck at JPYUSD=0.0090909. Suppose the dealer is short 11,000M yen (same as long USD 115.789M). Let’s see if a 1 pip change will give the (desired) $0 effect.

 

at 95.00 i.e. JPYUSD=0.010526

at 95.01 i.e. JPYUSD=0.0105252, after the 1 pip change

pnl

value (in USD) of the option is

same as value of a cash position

(0.010526-0.009090)*11000M =

$15.78947M (or ¥1500M, same as table above)

(0.0105252-0.009090)*11000M=

$15.77729M (or ¥1498.842M)

loss of $0.012187M

 

value (in USD) of the short

11,000M JPY position

-0.010526 * 11000M= -$115.789M

-0.0105252*11000M = -$115.777M

 

gain of

$0.012187M (or ¥1.1578M)

value of Portfolio

 

 

0

Therefore Answer b) seems to work well.

 

My explanation of the paradox – the deep ITM option on the last day acts like a cash position, but the position size differs depending on your perspective. To make things obvious, suppose the strike is set at 700 (rather than 110).

1) The USD-based dealer sees a (gigantic) ¥70,000M cash position;

2) the JPY-based dealer sees a $100M cash position, but each “super” dollar here is worth not 95 yen, but 700 yen!

 

Therefore, for deep ITM positions like this, only ONE of the perspectives makes sense – I would pick the bigger notional, since the lower notional needs to “upsized” due to the depth of ITM.

 

From: Brett Zhang

Sent: Monday, April 27, 2015 10:54 AM
To: Bin TAN (Victor)
Subject: Re: delta hedging – Hw4 Q7

 

You need to understand which currency you need to hold to hedge..

 

First note that the option is so deeply in the money it is essentially a forward contract, meaning its delta is very close to -1 (with a minus sign since the option is a put). It may have been tempting to answer a), but USD 100 million would be a proper hedge from a JPY-based viewpoint, not the USD-based viewpoint. (Remember that option and forward payoffs are not linear when seen from the foreign currency viewpoint.)

 

To understand the USD-based viewpoint we could express the option in terms of JPYUSD rates. The option is a JPY call USD put with JPY notional of JPY 11,000 million. As observed before it is deeply in the money, so delta is close to 1 (positive now since the option is a call). The appropriate delta hedge would be selling JPY 11,000 million. Using the spot rate, this would be buying USD 11,000/95 million = USD 116 million. 

 

On Sat, Apr 25, 2015 at 2:21 AM, Bin TAN (Victor) wrote:

Hi Brett,


Delta hedging means holding a smaller quantity of the underlier, smaller than the notional amount, never higher than the notional.

This question has 4 answers all bigger than notional?!

Victor