<t>The start/end dates are indeed market convention for interest calculation period for the swap. I was thinking about the fixings start/end date, which does not include the last date. sorry about that.My point is just that the relevant period for the df is determined by the underlying fixing rates'...

<t>The floating leg detail is what really matters here. the fixed leg is just the market price for the floating leg.I think for 1w eonia there are only 5 fixings, so either the 22jun fixing or the 29th fixing is not included. Therefore I am a bit surprised by your start and end dates. Let's assume t...

<t>hi,the definition of the instrument tells what the relevant period is. a loan with initial payment on d1 and final payment on d2 gives you df between d1 and d2.a fra or ed future gives the estimate ( with adjustment sometimes ) for a futures libor fixing, which is for another period of d1 to d2. ...

<t>It is fair to say that if model parameters are less volatile, the model is good and more useful. It is clearer to see that cap vols are just quotation mode and black-scholes' calibaration result and not true observable market data. However, there is still a need to calculate sensitivity to model ...

<t>Hi Guys,This idea is puzzling me a lot: if some interest rate model (non-black scholes) is calibrated with caplet vols, it means that the price of cap under the model is same as black scholes. However, the greeks are different since the underly process is different. If market move and caplet vol ...