The method seems right .You can also use par swap curve which would be more appropriate to use in this case. Since swap market value is difference between PV of 2 rates ,Mkt val1 - Mkt Val 2 is risk carried by the contract.

can you plz. elaborate on the method you have used. VaR seems little high for 1 yr and 5 yr OIS.

<t>I am valuing the derivative in incomplete market. expected return on Currency Asset is observed to be higher than risk neutral interest rate. Thus to exactly find out the expected return on the currency asset, I choose another derivative in this case Forward contract .Say for example, I am valuin...

<t>I am trying to value a derivative security using the following approach. Can anyone advise me if the approach is correct?The market price of risk ,associated with derivatives dependent on same underlying ,must be the same.I determine market price of risk for a forward (since forward is a derivati...

<t>I would also like to add one more point over here.When we decide to do yield curve fitting, shouldn't we account for liquidity of the bond istruments. Since the estimation is done in Market in China,if the market does not have many liquid securities, liquidity function become also important becau...