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Rock Paper Scissors Singularity and Building OIS Curves


Rob Beschizza, boing boing, Robot will beat you at Rock Paper Scissors even faster now, here.  100% win ratio. You knew after chess fell to the robots that something like this was on the way. Probably good at calling coin flips as well.

It uses high-speed recognition and reaction, rather than prediction.

Technically, the robot cheats because it reacts extremely quickly to what the human hand is doing rather than making a premeditated simultaneous action as the rules state.

Taking just one millisecond (ms) – a thousandth of a second – to recognise what shape the human hand is making, it then chooses a winning move and reacts at high speed.

Version one completed its shape 20ms after the human hand; version two finishes almost simultaneously.

Numerix, Blog, Advanced OIS Discounting – Building Proxy OIS Curves When OIS Markets are Illiquid or Nonexistent, here.

The G5 currencies (USD, EUR, GBP, JPY and CHF), along with a few others, have well-developed Overnight Index Swap (OIS) markets, enabling practitioners to construct OIS curves which can then be used to discount derivative cash flows collateralized in that currency. The OIS curve is also used to strip projection curves for the different LIBOR tenors from quotes of collateralized vanilla swaps.
However, many currencies do not have Overnight Index Swaps markets, or the OIS markets are very illiquid. Constructing an OIS curve in these currencies is a much more difficult exercise.
How can practitioners use vanilla swap quotes in the target currency plus cross-currency basis swaps to simultaneously strip both the implied OIS discounting curve and the projection curve? And what if the vanilla swap market is illiquid at the tenor you need but liquid at other tenors?
Join Numerix on Wednesday, November 6th at 10:00am EST as featured speaker Dr. Ion Mihai, Quantitative Analyst at Numerix, discusses how to build proxy OIS curves from available market information in currencies where the Overnight Index Swap market is not well developed.
Dr. Mihai will discuss:
  • OIS discounting basics: review of the standard curve stripping approach
  • What if there is no OIS curve?
    • Simultaneous calibration of discounting and projection curves
    • Assumptions behind the curve stripping approaches
  • Examples
Attendance is complimentary, Registration is required.
Space is limited, reserve your seat today!

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