<t>Thanks for your advice.<br/> For an averaging swap, i believe the payoff for the averaging leg is: (assume it is semi-annual, correct me if there are any mistake)<br/> <br/> n 120 <br/> = sigma [ sigma (F )*N * thau / 120 ] <br/> i j j, j+6m<br/> <br/> where n = no of resets<br/> N = notional <br...

<t>Hi<br/> <br/> Will like to ask how to calculate the DV01s of the averaging leg of a floating-floating swap? And then the Var<br/> <br/> Say s/a Hibor 3m- USD Libor. The hibor 3m is observed every biz day and the average fixing/ payment is in-arrears. Difficulty is in differentiating all the forwa...

<t>Mathematical finance has always fascinated me. Somehow, the concepts of risk neutral pricing, Brownian motion have been the bedrock of many a pricing models.<br/> Somehow, this mathematics tries to project into the future - whether it is for the equity prices or the term structure. The past is su...

<t>Hi Dannfer<br/> <br/> To generate corrrelated normal variables in Crystal Ball, you need to have the convariance-variance matrix. Do a cholesky factorisation of the matrix.<br/> <br/> Then, use Crystal Ball to generate iid normal variables, and the coorelated variables are then linear multiples (...