<t>I have seen some market data vendors like tullet and BGC quote cross currency basis swap in the following format: JPY Libor vs Euribor vs USD libor . It would be very helpful if anybody could point to some literature describing the mechanics of such trades. Currency pairs involved are JPY/EUR and...

<t>Thanks for the responses! Darry, yes cubic interpolation will ensure smoothness at the knots. But now I am thinking, If one uses, log linear Df method along with forward differentiation, effect of non smoothness can be done away with, is it a valid conclusion or I need to take care of something e...

@surya2cents, some info about emerging markets will be most useful

<t>I have a few basic question about calibrating current term structure in the Hull white model to cap/swaption. What I have a an input to the model is bootstrapped blended curve, with discount factors for a set of grid dates. Please note that the curve has been bootstrapped using log linear df meth...

don't think that should be the case. which parametric form of vol smile you are working with?

<t>I have been trying to implement a smile interpolator with polynomial in delta based on the excellent text of Mr Clark. "Foreign exchange option pricing"However, i see some issue with the numbers given for EURUSD 1 year option. Inputs are quoted ATM, market strangle and risky for 1 year: {18.25%,0...

<t>@Simon, I have been thinking about the same problem. Did you get any info on this? I believe a market maker would have a view on risk reversal as it is related to the skew in the volatility of the underlying. What I am interested in knowing is how would he take a view on the price of 25 del risky...