btw. we use lognormal assumption. in a sense, we want to model the spread, but we want to make sure it mean reverts, is always bigger than zero, and don't show outrageous numbers, like spread of 5000 basis.

<t>we want to do the following. 1. we have 10 year treasury rate evolving following stochastic process2. assume 10 year swap rate follow its own stochastic process3. but we want the 10 year swap rate to be ALWAYS above treasury rate, and4. the spread has a mean of , say , 25 basis point. what functi...

We have already modelled Bermudan swaption, now we are moving on to Bermudan type callables, is it desirable to model Bermudan type callable bonds as a bullet bond and a swaption seperately, or model the callable bond from scratch, by itself.Thanks,

European swaptions are the worst choice for in terms of complexity. This is real market data and humped vol term structure. on top of that, calculate forward european swaptions at each exercise dates is really not something I enjoy doing. How tough is that?Thanks

<t>I am working on pricing Bermudan swaptions using longstaff-schwartz method. Have some trouble in deciding the basis functions for regression. Anybody have experience on that? More specificly, can we just use the forward swap values, (maybe a quadratic function). would that be enough.Also, accordi...

<t>I am working on pricing Bermudan swaptions using longstaff-schwartz method. Have some trouble in deciding the basis functions for regression. Anybody have experience on that? More specificly, can we just use the forward swap values, (maybe a quadratic function). would that be enough.Also, accordi...

Hi,I need to implement BGM libor market model for a project. I would appreciate help with some free historical market data (caps volatilities, term structure of the matching period)Any help will be greatly appreciated.Thanks