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by gauravquant
January 16th, 2014, 2:57 pm
Forum: General Forum
Topic: Query on window binary double KO
Replies: 4
Views: 5539

Query on window binary double KO

thanks.
by gauravquant
January 16th, 2014, 2:48 pm
Forum: General Forum
Topic: Query on window binary double KO
Replies: 4
Views: 5539

Query on window binary double KO

many thanks Alan.The naming convention is fine but the option should be priced with digital payoff. correct ?
by gauravquant
January 16th, 2014, 2:12 pm
Forum: General Forum
Topic: Query on window binary double KO
Replies: 4
Views: 5539

Query on window binary double KO

<t>hi,If the binary double KO has not been knocked-out by the window end date, should the option be treated like digital or vanilla till the expiry for valuations purposes ?The common sense says that it should have digital payoff rather than vanilla, but I need to confirm that. Can anybody please co...
by gauravquant
September 20th, 2013, 3:06 pm
Forum: General Forum
Topic: Offshore USD BRL Cross Currency Swaps (Fixed-Fixed)
Replies: 1
Views: 24073

Offshore USD BRL Cross Currency Swaps (Fixed-Fixed)

Hi,This is a very old post, but I am interested in the reply. could anyone please comment on this ?thanks,
by gauravquant
July 30th, 2013, 11:07 am
Forum: Student Forum
Topic: Question about FRN convention
Replies: 1
Views: 7183

Question about FRN convention

<t>hi,you can have forward and backward date generation depending upon the trade. If the trade or bond has any first coupon date, then dates would be generated forward starting from first coupon date. If there is no first coupon date defined, the payment dates are generated backward from maturity so...
by gauravquant
July 30th, 2013, 10:57 am
Forum: Numerical Methods Forum
Topic: fit for the parametric form of correlation matrix
Replies: 1
Views: 7064

fit for the parametric form of correlation matrix

Is this the correct forum for such question ? should i put this other forum like general question ?
by gauravquant
July 30th, 2013, 5:21 am
Forum: Numerical Methods Forum
Topic: fit for the parametric form of correlation matrix
Replies: 1
Views: 7064

fit for the parametric form of correlation matrix

<t>hi,I am trying to obtain a fit of the swap ATM correlation data by trying to solve for the parameters. I am using the functional form from this paper "The Co-Initial Swap Market Model", equation-25.I need some advice as I am not able to replicate the input ATM correlation using the parameters I g...
by gauravquant
February 15th, 2013, 9:13 am
Forum: Student Forum
Topic: lookback option on Hangseng index
Replies: 0
Views: 8034

lookback option on Hangseng index

<t>hi guys,I have got some lookback option trades where the underlying is an index. Pricing lookback options is fairly easy as the formulas are available in Hull. The problem lies in the source of volatility. Does anyone know a fair way to estimate the vol used for these kind of exotic options ? Tha...
by gauravquant
November 21st, 2012, 10:20 am
Forum: Student Forum
Topic: Muni Swap Curve on Bloomberg
Replies: 9
Views: 11113

Muni Swap Curve on Bloomberg

<t>small explaination on curve 43 ( muni swaps ),As claimed by Bloomberg, it is dual curve where the discounting is done using standard USD curve 23 and forward rates are stripped using the par rates of curve 43. I verified it using the custom curves for both curve 23 and curve 43. If I change the p...
by gauravquant
November 16th, 2012, 7:03 am
Forum: Student Forum
Topic: Muni Swap Curve on Bloomberg
Replies: 9
Views: 11113

Muni Swap Curve on Bloomberg

<t>Thanks for your patience.As you can see I already have quarterly discount factors and lets say I have got all the reset dates for 1Yr tenor, I can easily strip the discount factors at each reset date and calculate the weekly forward rate between 2 resets. I'll give you an example...Lets say my re...
by gauravquant
November 15th, 2012, 5:51 am
Forum: Student Forum
Topic: Muni Swap Curve on Bloomberg
Replies: 9
Views: 11113

Muni Swap Curve on Bloomberg

<t>I am still confused here. Lets do it by taking an example.First, I have a properly built Libor curve ( curve 23 ) which will be used as a discounting curve.second, we are trying to build SIFMA swap curve ( curve 357 ) using curve 23 as a discounting curve. Suppose the BBG quotes for curve 357 are...
by gauravquant
November 14th, 2012, 1:18 pm
Forum: Student Forum
Topic: Muni Swap Curve on Bloomberg
Replies: 9
Views: 11113

Muni Swap Curve on Bloomberg

<t>The SIFMA/LIBOR ratio is only quoted for swap rates. How can we apply the same ratio to LIBOR forwards( implied from LIBOR curve) to determine Muni Forward Rates ?I have performed some analysis with BBG data of curve 357 ( Muni % LIBOR curve), and it seems that the forward rate on the muni leg is...
by gauravquant
November 14th, 2012, 4:28 am
Forum: Student Forum
Topic: Muni Swap Curve on Bloomberg
Replies: 9
Views: 11113

Muni Swap Curve on Bloomberg

<t>Yes. That's correct. I am trying to strip it as a Par curve. That's the issue, I am not able to match numbers whereas for Curve 23 which is par swap curve, I am getting same discount factors. Do you think BBG is adopting some other methodology ?On another note, do you know how can we calculate di...
by gauravquant
November 13th, 2012, 10:11 am
Forum: Student Forum
Topic: Muni Swap Curve on Bloomberg
Replies: 9
Views: 11113

Muni Swap Curve on Bloomberg

<t>Hi,Here is my query. I have been analyzing how to build a muni swap curve for which I am importing data from BBG terminal( 43 Muni Swap curve). It seems to export the par rates in the similar fashion as for any other vanilla swap curve. Hence, I am using the similar routine, which is used for par...
by gauravquant
September 7th, 2012, 8:27 am
Forum: Student Forum
Topic: Digital knock-in and knock-out
Replies: 5
Views: 10750

Digital knock-in and knock-out

Thanks Jim and sanyelv. Thats really helpful. Do you have some documentation that i can use to price other varieties of digital knock-in/out ?
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