hey Money,having all the Lehman collection what can you offer from others (particularly SocGen)?

the decision to use one curve or another is a trading one; so depending on whoyou are you are going to use one rate or another one. remenber the replication argument to reacha price.

<r>hi mates,could someone explain the modelling/pricing assumption needed to this open-ended products?a link where it's cited (end of the article): <URL url="http://www.trustnet.com/general/news/printable.asp?db=educational&id=66439"><LINK_TEXT text="http://www.trustnet.com/general/news/pr ... l...

u seem to know them very well...

hi mate,take for instance CMS01

thanks mate.I attach this guide (sure you already know it)

thnk u GC,btw, as far as i understand, there is no "volatility market" on inflation -just swaps-, correct?

hi mates,(1) is the euro denominated inflation derivatives active?(2) is there some broker screen (reuters or bloomy) to follow it ?

hi mates,can someone illustrate in a nutshell why pricing int. rates products linked 2 references in 2 currenciesis especially difficult when the product is quanto and callable?thks

hi mates,do someone know if it is already published?thks

<t>kwengoua,don't get nervous...it's easier:- the client sell the option to the bank=> the bank will price it "under" the option market bid- the bank then invest: the valued option premium+Nominalat the prevailing time horizon interest rate (let's say deposit).- et voila: you've got the Maturity Red...

hi Heitor, wrt Quote(...) the critical aspect in your practice is not the fact delta>1, which can happen in a moment and adjust in the next (by a significant adjustment in the underlying price) (...)could u elaborate with an example?thks

agree with anybody. too many wanabee quants don't grasp the very basics... so it's dangerous to let them trade untill they get smart street...

could you put a simple exampble

hi,suppose a trader is long a Fwd, but is borrowing the shares.If there is a sudden increase in the cost of borrowing the shares (let's say an increase in 10%) how should we adjust the Fwd Price to maintain the initial fairness of the trade? (not benefit anyone on the agreed terms) ?thks