QuoteOriginally posted by: psibladeZXIs there a question?Hi psibladeZX,Any idea if it's possible to move from model validation to FO structuring role? What are the likely routes? thx

Hi psibladeZX,Any idea if it's possible to move from model validation to FO structuring role? What are the likely routes? thx

-

Hi,I'm trying to integrate a function of "t" and then plug this value of the integration into normcdf, however, it seems that there is something wrong with the symbolic rule in matlab, how should I solve this problem?Thanks

<t>Hi guys,I would like to ask a question regarding an uncollateralized Dollar/Yen 3-month Float vs Float cross currency swap. Regarding the treatment of the cross currency basis spread, I would like to simplify the case by assuming 3-month US Libor rate as the discount rate for the dollar leg, equi...

Hi,I wonder if anyone knows where I could obtain CDS spread data, in the form of upfront +running premiums for maturities from 6 months to 20Y?Thanks a lot.Tristan

<t>I'm currently following the stochastic basis modelling framework (Mercurio & Xie 2012). Specifically, I assume a one-factor hull-white dynamics with constant mean reversion rate a and volatility parameter sigma for the OIS rate. Then I also assume a one factor lognormal process for the basis ...

Any hint?

<t>Hi all, I've got a question regarding the calibration of the basis adjusted discount curve of XCCY swap:Assume we're considering an uncollateralized dollar/yen cross currency swap from the point of view of the yen payer:Leg 1: 3-month yen Libor+basis spreadLeg 2: 3-month dollar LiborBased on Fuji...

<t>I see. Which one is more liquid in terms of cross currency basis swaps, forward starting or spot? As I'm trying to construct the spread adjusted discount curve vs US dollar curve. QuoteOriginally posted by: daveangelyou don't usually use a forward starting swap to build a yield curve. but if you ...

But for P(0, T_0), shall we pick an interest rate swap with maturity T_0 and the effective starting date 0? Is that what you mean?

<t>If we are at time t, consider an vanilla interest rate swap starting at some future time T_0, with maturity T_N, based on single curve non-arbitrate relationship, we should have:[$]Swap_rate\sum_{i​=1}^N\delta P(0,T_i)=P(0,T_0)-P(0,T_N)[$]When we do the bootstrapping, what instrument do we usuall...

<t>Hi everyone,I have a question regarding Fujji, Shimada and Takahashi's paper "A note on Construction of multiple swap curves with and without collateral". Specifically, the cross currency swap with US libor as the discounting rate without collateral, [$]N_t^Y\{-P_{t,T_0}+\sum_{n=1}^{N}\delta_n(E_...

<t>Thanks, secret2.Regarding the modelling of the two underlying rates, I've read two papers, one is by Boenkost & Schmit(2005) and the other by Fujii et al (2010). The common practice seems to be that one chooses the dynamics for the base currency discounting rate, from which they obtain the ba...