You can use break point and step-by-step execution to determine where the error happens in VBA.Google "VBA break point step execution" and it should return some useful references.The "locals" windows would be another helpful tool.

The rotation risk impact is covered in historical simulation value-at-risk. FI usually has stress test scenarios specific for rotation risk too.

<t>I think they are different things.In continuous compounding, your discounting function would be exp(-rt).The variable t is year fraction which take 3 parameters: start date, end date and day count convention.You might also need day count convention to project the cash flow. Say in USD, your inter...

Don't think it's possible neither. Take BS model as an example.The risk neutral drift is "r" (interest rate). The physical drift "u" is not even used in the PDE.I believe it's similar case when it comes to default probability model like credit spread.Just my 2 cents.

<r>The short term OIS rate has around 10 basis point lower than the cash rate at this moment.Literatures suggests that OIS rate, to some extents, representing the market expectation on the average cash rate in the future. For example, the below RBA paper (2002) has a paragraph saying that:<URL url="...

<t>I'm not quite sure why you need the 15M swap Euribor. Here is what I will do for your problem. First, bootstrapping the OIS curve with below par rates:1D - 15M: given deposit rate (maybe more appropriate to use spot EONIA OIS)2Y - 50Y: derived OIS rate, calculated as EURIBOR - basis spread, appro...

<t>Could I ask what your purpose of running the MC is?Be aware of the risk measure used. - For risk purpose (e.g., VAR), people tends to use real measure as you're trying to find what will happen for your un-hedged position. But some people prefers using risk neutral measure.- For pricing purpose (e...

<t>Here is my thoughts. To be further discussed.First, bootstrapping OIS curve:1. Short end OIS rate can be grabbed directly from CASH and OIS swap?2. Mid / Long end OIS rate can be derived from EURIBOR swap rates minus basis, with some payment freq adjustments3. From 1) and 2), you got all OIS par ...

I think you can bootstrap the OIS first. During the OIS bootstrapping, I suppose you only need the EURIBOR 3M par rates but nothing else (e.g., the discount factor)?

Try "Cholesky decomposition" to generate correlated random variables?http://en.wikipedia.org/wiki/Cholesky_decomposition

How about OIS swap?Suppose you have a short tenor deposit / loan. The OIS swap can convert your interest rate risk exposure to overnight which is very small?

Are you referring SWPM when you say Bloomberg?QuoteI am trying to match Bloomberg.I don't think Bloomberg use OIS discounting when deriving estimation curve like AUD 3M, from what I see in "ICVS", but I might be wrong.

Might you send me a copy of the paper too please?tom.chau@live.com

<t>Here's what I think / guess for 1). Using your convention Q, B and S...For receiving BBSW 3M quarterly, you have pay fixed payment Q quarterly.For receiving BBSW 6M semi-annually, you have to pay fixed payment Q quarterly together with fixed payment B semi-annually. To unify all payment to be sem...

<t>After reading some forum threads, I believe the IR PV01 and CS PV01 are the same for risky fixed coupon instrument (e.g., bond).PV = exp[-r*(y+s)*T]CS PV01 = dPV/ds = dPV/d(y+s) * d(y+s)/ds = -T * exp[-r*(y+s)*T] * 1 = IR PV01.Is the above correct?I'm not sure how to calculate the CS PV01 for flo...