QuoteOriginally posted by: DevonFangsQuoteOriginally posted by: MartinghoulAs to the curve, I guess whether you need it or not would depend on which cash-settlement method you use.Ha you villain, you edited. Care to elaborate on this? If it's cash you'll have to discount it.Thanks.Ha, indeed... I am not really 100% certain what you mean. Sure, you need to calculate the cash settlement amount, but why can't you do it using the simple IRR methodology, with the fixing (whatever it might be) as the discount rate. If I am not mistaken, that's how they do it in EUR/GBP etc. As long as everyone agrees on the fixing rate (which, I suppose, is where the fun really lurks), you don't need any other rates.
Last edited by Martinghoul
on January 25th, 2012, 11:00 pm, edited 1 time in total.