Serving the Quantitative Finance Community
Search found 41 matches
- June 12th, 2007, 8:27 am
- Forum: General Forum
- Topic: LOBO
- Replies: 4
- Views: 72105
LOBO
Hi,Does anybody have a clue how LOBO's - Lender's option Borrower's option - are priced?Thanks,
- May 31st, 2006, 10:30 am
- Forum: Technical Forum
- Topic: Amortising Swaptions Implied Vol.
- Replies: 7
- Views: 104347
Amortising Swaptions Implied Vol.
Why should an amortsing swaption have a different volatility than a plain vanilla one?
- May 19th, 2006, 11:14 am
- Forum: General Forum
- Topic: Bloomberg Bermudan swaption pricer
- Replies: 8
- Views: 108366
Bloomberg Bermudan swaption pricer
Sorry I have out.The calculation I got from two banks were around 3.6%
- May 12th, 2006, 12:28 pm
- Forum: General Forum
- Topic: Bloomberg Bermudan swaption pricer
- Replies: 8
- Views: 108366
Bloomberg Bermudan swaption pricer
OlyaTo simplify: here a BB screen shot.
- May 12th, 2006, 12:17 pm
- Forum: General Forum
- Topic: Bloomberg Bermudan swaption pricer
- Replies: 8
- Views: 108366
Bloomberg Bermudan swaption pricer
ReceiverTenor five yearsFix coupon swap 5yFloating euribor 6mOption excercisable every fix coupon date
- May 11th, 2006, 10:44 am
- Forum: General Forum
- Topic: Bloomberg Bermudan swaption pricer
- Replies: 8
- Views: 108366
Bloomberg Bermudan swaption pricer
Meanwhile I've asked three contacts at banks to price a simple Bermudan structure: Bloomberg's figure was way off mark.
- May 9th, 2006, 12:14 pm
- Forum: General Forum
- Topic: Bloomberg Bermudan swaption pricer
- Replies: 8
- Views: 108366
Bloomberg Bermudan swaption pricer
Has any benchmarked the Bermudan swaption pricer in BB? Does it give price indications in line with what one can expect from a trading desk.Thanks for any feedback.
- January 13th, 2006, 3:21 pm
- Forum: Technical Forum
- Topic: building inflation curve
- Replies: 8
- Views: 135495
building inflation curve
You could use the zero inflation swap curve. Is probably easier tha using bonds.
- November 28th, 2005, 8:51 am
- Forum: General Forum
- Topic: CMS Quotes
- Replies: 5
- Views: 131558
CMS Quotes
ICAE 14
- September 14th, 2005, 1:39 pm
- Forum: Book And Research Paper Forum
- Topic: Market Models - Carol Alexander
- Replies: 4
- Views: 138218
Market Models - Carol Alexander
Good book as a stepping stone.
- September 14th, 2005, 1:37 pm
- Forum: Off Topic
- Topic: Waar zijn de Amsterdamse Wilmottertjses?
- Replies: 216
- Views: 163249
Waar zijn de Amsterdamse Wilmottertjses?
Brussel/Leuven/Gent zijn veel 'gezelliger' en bovendien is het bier (en eten) er beter
- September 14th, 2005, 1:21 pm
- Forum: General Forum
- Topic: Hedging zero rates
- Replies: 5
- Views: 136555
Hedging zero rates
Why not use strips?
- September 12th, 2005, 9:10 am
- Forum: Technical Forum
- Topic: Yield Curve Modelling
- Replies: 9
- Views: 139045
Yield Curve Modelling
Pat,Could send the paper?Thanksbdebergh@bloomberg.net
- September 12th, 2005, 9:07 am
- Forum: General Forum
- Topic: what is "WTI" oil and "Brent" oil?
- Replies: 13
- Views: 145679
what is "WTI" oil and "Brent" oil?
This attachment may be of interest.
- January 13th, 2005, 3:08 pm
- Forum: General Forum
- Topic: Duration of bank account
- Replies: 7
- Views: 164085
Duration of bank account
If I recall well Jarrow wrote a paper on the subject.