Thanks patgot it loud and clear,regards

<t>Thanks Pat for the quick fix.Now let us test whether I have fully grasped the concept.As it is optimal to exercise as much as you can ( sticking to the ratio of 25 %) i can have 4 Call/Puts on the exercise dates. Assume only 5 time steps ( 0 = now, 1 to 5 as roll dates and 6 = maturity)Now I roll...

<t>In a bermudan swap the full notional can be Put/Call on exercise date, now if the Call Put notional on each exercise is fixed as a percentage of the initial notional ( say 25%) then how is the swap priced, The Tree methodology doesnt seem to work because while rolling back on the tree I do not kn...

If its OK i would like to have a look at your code

<t>The risks to be hedged are the following:<br/> 1) the Index <br/> 2) volatility of index<br/> 3) volatility of FX<br/> 4) and finally the fx risk<br/> <br/> to hedge the quanto the fist hedge to be set up is buy/sell the index. This will lead to the fx risk which would give an exposure equivalent...

Hi J,U can use the left() and right() function in excel to extract the desired columnI'll see if i can do it for you

<t>Hi,I am looking for an Article published in journal "Applied Mathematical Finance, Vol 1, Number 1, Sep 94"the articles name is " Hedging Quantos, defferential swaps and ratios" by F JamshidianCan someone please advise me how to get it? , is there any thing more available on the same subjectregar...