<t>I first started with the Hull and the famous 6 pieces from Salomon to understand the yield curve. Then came the first edition of Wilmott and the famous Pat Hagan et all piece on SABR, while Rebonato on volatility and correlation was on the shelves and it did not take long for the 2nd edition of t...

interpolating parameters to estimate the vol of a caplet or a european swaption and interpolating directly the volatilities resulting from the known Sabr parameters give usually similar numbers.

In the USD CMS swap market, is the convention to use LONDON or LONDON + NEW-YORK for resets ? Thanks.

Consider I have a matrix A and a series of B_k matrix (n rows and p columns) and some cst_k reals.Is there a way I can solve for A in the system of equations given by Tr( A x B_k' ) = cst_k ?Thanks,Andre

<t>Definitely two different instruments. I would say that you can only derived 1M vol from 3M if you apply a spread that you are confortable with. In the meanwhile, you have some quotes available directly versus L1M in the broker market (for instance 3Y 7% cap or 1x2 5% C 3M vs 1M). So it may be old...

Dr Pitterbarg, this is not directly related but when is your book to be available in stores ?

Has anyone any idea where long dated FX vol trade on the EUR/USD and USD/JPY for 2 and 5Y ? Thanks.

very nice job benhae

ALSTOM 2% 12/31/08 is the convertible one.

A quand la creation d'un cercle des actuaires a New-York ?

Check Stephen Blyth column in Risk (Age of reason or age of procedure?) on sophistication from a risk management point of view.

You're damm right !I have great respect for the founders and columnists of this magazine.I am sorry for those who misunderstood my message. Maybe it's because of my poor English. Maybe not.

ajeetkc, I am not sure providing a calculator will help you, based on the fact you need to make assumptions on the inputs which are not that straight especially on the correlation side

Bien vu. Very good paper indeed.

What do you call correct value for ED options ? You may have access to Bloomberg closing prices for ED options for various strikes and then get the implied Black vol and all the parameters.During the day, you may talk to your broker who is able to give you both prices, iv and greeks.