<t>Thanks for answering but I still have some doubts.....After have obtained the forward rates it is clear that I have to apply this rate for the period between two payment dates.My doubts concern the calculation of the forward rate, I am doing in this way:F_rate= (R2*T2-R1*T1)/(T2-T1)where R1 is th...

<t>Hi,I want to replicate, as precisely as possible, the price calculation of a swap for which I have: payment dates and fixing dates.My question is when I calculate the forward rate for the floating leg which period I have to consider; the period between two consecutive fixing dates? Thank you in a...

<t>Hi all,I have a basic doubt on how to estimate correlation: on price or on returns?My problem is to simulate for example with a GBM the price evolution of two stocks.Initially I thought to make the correlation estimation on prices but I saw that in literature is made mainly on returns.I don't und...

Thank for your answer!!!

<t>Hi all,I'am calibrating a Vasicek model using an historical series of interest rate. As a result of calibration I have obtained the three parameters of the model: mean reversion speed, mean reversion level and volatility.Then for curiosity I have tried to do the following things: 1. Simulate a pa...

<t>Hi,thanks for your answer... When you speak about "b", is the mean reversion speed? right?My problem is that after calibration I obtained the parameters of TEST2 and with these parameters if I notice that the distribution obtained via Montecarlo simulations is different from the expected distribu...

<t>Hi,I'm simulating the evolution of an interest rate using the Black Karasinski model. My aim is to simulate the evolution from today to thirty year.After the simulation I checked the distribution that I obtained in the different time step and I noticed a vey strange(for me) behaviour.If I use a c...

<t>Hi,I am studying the GBM and I wonder me which is the rationale behind the fact the this model is able to generate only positive prices.I know that the solution of the GBM is distributed according a lognormal distribution and so the solution must be positive to retrieve the normal process associa...

<t>Hi,I'm following your suggestion and I'm trying to write the likelihood function for the Black Karasinski model.I started from the discretize version of the SDE:y(t+∆t)=a+(y(t)-a) e^(-k∆t)+√(((1-e^(-2k∆t))σ )/2k)*zwhere a= mean reversion level, k=mean reversion speed , sigma=volatility and z is a...

<t>Hi All,I'm studying the Black Karansinsky model for interest rate.For a personal project i have to calibrate the model from an historical rate series.Could you give me an hint on how I have to proceed in order to find the three parameters of the model (mean reversion level, reversion speed, volat...

thank you for your answer!!!!Then if I want to calculate the Expected Exposore(EE(t)) at each time step I have basically to perform a number N of Black and Scholes pricing equal to the number of underlying simulations.Is it correct?Bye

<t>Hi All,I'am new on counterparty risk and I'm trying to understand how to deal with PFE calculation. Let's say that we have a plain vanilla call option on a stock with maturity 2 yr and we want to value the exposure at certain points between 0 and 2 yr.I know that I have to simulate, through Monte...