<r>There are two typical methods and two typical directions. One method is an actual difference adjustment and the other is a proportional adjustment. One direction adjusts all historical data so current continuous price is the current front month price the other adjusts so the starting price in the...

try FRD on Bloomberg

<t>I need to check a bank's offer price of an ATM swaption (9 months to 5yrs) on Bloomberg. I've got SwapMarker vols but they're just mid. What kind of Bid/Ask spread can I expect on this? Will Bloomberg's models give me an accurate pricing? Is there another data source that would be better? Thanks....

<t>We've been using NN to trade a portfolio of US futures. Backtesting looked good & we started live trading nine months ago. Annualized return is around 45% with the leverage we decided upon. Sharpe is around 1.8. Max drawdown has been 13%. Only trading USD 6mm or our own capital right now as a...

One of our bankers is pitching a euibor based deal & needs standard reference for the 7 yr rate. I only know US. Anyone have something? Reuters? Telerate?

Any feedback on DealPoint Pricing System by Brilliance Software Corp? An Aussie company, I think.

Does anyone use Crystal Ball? Is it similar to @Risk?

<t>I've been fooling with the same thing for a while, also without a lot of success. Here's what I've come up with. I tried linear curve interpolation & compare to a cubic spline function I pulled from the Web. Also tried combination. BBLP data pulled from SWPM with smooth forwords option. Follo...

<t>I had an Excel file with a dozen sheets or so each with a lot of calculations. Each feed into the next and there was some loopback. Recalc took a little over a minute and a half. I got the tip to put everything on one sheet vertically and recalc takes a fraction of a second. Is that typical of mu...

Extend your yield curve. If your in the USD market, add a 40 year rate, say 5 bps under the 30 year rate.

Yes, thanks. I had done that & found an OATS issue and an Italian issue but that's about it. I just wondered if I had missed something obvious. I wouldn't think there are too many issues meeting the requirements.

<t>Definition for acceptable replacement collateral. Current lender has specific collateral its very happy with and wants replacement collateral definition to be extremely narrow. Other considerations force definition to have some breadth. I don't know if there is any breadth in the market based on ...

Forgot to add tenor around 5 to 7 years.

Floating rate, pounds sterling, EU government or sub-sovereign credit?