I will take a look, however Roger Lords uses a different approach.
What is strange in Antonov papaer is the absence of the correlation in the calucaltion of the mean and variance of the SABR process... or am I wrong?

Thanks

Hey Lapsi (or evetyone is reading this...)

did you try to implement the Monte Carlo method cited by Antonov in his papers?

Wellwn

Thank you Lapsi,
no more big problems with the implementation (exept the error I get with strikes zero and atm... to your knowledge I'm using matlab).
My next step is to implement the Monte Carlo simulation (not described in the articles).

Thanks again for your interest,
Wellwn

Hi, has anybody tried to implement the solution proposed by Antonov et al. in their paper to come up with a solution for the negative rates? These are the papers I'm talking about: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2557046 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2653682 I...

@b23 Hi, did you come up with a solution?

Thank you! Your answer is very clear!

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Mmmmhh... I need simple words...

Can someone explain me in simple words what are granular market limits?

Hi,to compute PFE I need to use only positive mark to market or all of them?I mean, at each t I need to calculate the alpha percentile using as distribution all the mark to market or only the positive one?

That means I have to calculate theta (thing I want to avoid)!I only want to know if my approch is correct... are the formulas I suggested correct?

I found mean and variance in Brigo Mercurio - Interest rate models ed. 2006, 3.37Is it correct to use as r(s) r(t-1)?

I don't undersatand your answer... is my second approchr(t)=mean+sqrt(variance)*(random_normal_std)a valid one?

<t>Hi, I need to compute the potential future exposure of an interest rate swap contract.1) Does the PFE need to be zero at the initial point? (And does it make sense to compute the Mark to Market in t0?)2) How can I read the result? If in t PFE is 6% does it mean in that day I risk to lose the 6% o...

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