Cool, thanks again!

Hey deimnateR thanks for your response. So for example, from a banks perspective which (in general) receives fixed, it should be equal to -1 right?

<t>Hello everyone,I want to use the Black's formula for CAP prices as on page 17 of Brigo et Mercurio. The only problem is that there is a 'omega' in the expression. Does anybody know what it stands for? (is it -1 for receicer, 1 for payer, something like that)?Thanks a lot in advance!Regards,James ...

OK I found in Brigo et Mercurio on p. 134 that a negative a can be encountered empirically, allowing my lower bound to be negative I get perfect results. So, that was a lot of time spent hahaciao!James

<t>Hello everybody,I posted this question a while ago, but I think I can reprhase the question more accurately now. I'm trying to calibrate a one-factor Hull-White model:dr(t)=(theta(t)-a*r(t))dt+sigma*dW(t)Where theta is the time dependant long term mean, sigma is the volatility and W(t) is a Bowni...

Thanks Pimpel and Amike for your responses, I'll work with your suggestion Pimpel!

naked EE I mean

<t>Its for CVA purposes eventually, so everything is risk neutral, market implied. By calibrating to market observed yield curve parameters are estimated to market information. The only thing is that my profiles are way higher then Bloombergs, where you can also see the naked MtM (in CVA context). I...

<t>Hey Amike,I took the analytical expression for bond prices, maybe you know it:P(t,T)=A(t,T)exp(-B(t,T)r(t)) which is a function of sigma (volatility), kappa (mean reversion) and theta (long term average) and used this to directly fit the currently observed term market structure (usings non linear...

<t>Hey guys,Im buidling a framework which computes the expected exposure profile of a plain vanilla interest rate swap. Using a one factor Vasicek, I obtain exposures with peaks two times as high as Bloomberg (Black-Scholes)? Could it be that I have made a mistake in my implementation, or is Vasicek...

could you also please remove my post? http://www.wilmott.com/messageview.cfm? ... adid=92989

<t>Helllo everybody,I posted before including a piece of code, but removed that post. Does anyone by any chance a piece of MATLAB code on how to calibrate a single factor Hull-White with constant alpha and sigma? (so you are in fact calibrating alpha and sigma). Or does anyone know where I might be ...

<r>Hello everybody,I've been trying to calibrate a one factor hull white to caps. Using the book from Brigo en Mercurio I obtain the analytical expression from page 76. Now I implemented this in Matlab and initially try to calibrate to two caps using the following code in Matlab:function CAP2=CAP2(k...

<t>@ tchew75 , thanks for your response. I thought that the MtM was basically the future price at time t>0 given the initial swap rate and the remaining payments from t on onwards and in that respect should be computed under the risk neutral measure (since is basically is a pricing-matter). In addit...

<t>Hello everyone,Currently I am building a framework in order to calculate the potential future exposure of an interest rate swap. I just wanted to check wheather I am doing the right steps and if any of you with more experience might have some suggestions:1)I calibrate a short rate model, e.g. Vas...