Calculation of asset swap levels; Nomura

Abstract

The internship lasted for 8 weeks and I worked on two trading desk. For the first half, I worked with the Rates Desk which handles interest rates products for the Local Markets (which refers to Asia Ex Japan i.e. India, Thailand, Malaysia, Indonesia, Hong Kong, China, Philippines etc.). For the second half, I worked with the FX desk which handles GIO as well as local currencies. Though I was assigned a buddy and a mentor, the atmosphere was very warm and one, could ask anybody for help and people were very willing to help too. The first week was spent understanding both the desks, second week was becoming more familiar with the Rates trading desk by sitting with traders, asking them questions. Besides, the main project, I also helped in the day to day activities of the desk i.e. I had one data collection work by sitting with the traders, preparing an option payoff diagram, preparing a historical volatility calculator, implementing VBA to check for arbitrage opportunities in HK dollar pegged to US dollar, running multiple regressions to check for correlation among various rates and so on.