<t>start by projecting your forward rates, compute each "fixing", and calculate the average per the contract. keep in mind, that depending upon how the contract is written, there may be a volatility component which contributes to the price, related to :1/avg(p1, p2,......pn) <> avg(1/p1, 1/p2,.........

you have USDDKK options vol - can you get USDNOK options vol as well?

there wouldn't be any net resets, the floaters from the xccy basis swap would wash against the floater from the interest rate swaps

yes - suspected it had to do with the ability to short the "Principals" and ability to repo....

Why would the yield to maturity on a treasury strip be different for a "Principal" strip vs. a "Coupon" strip?It would seem to me that these are basically a USD cashflows for a certain value date, same credit risk (US govt), etc. Thanks!

in this example, I am using the reuters "RTGET" function, lets say "=rtget("IDN", "JPY=", "BID")or in bloomberg, it woulc/could be a "BLP" function

<t>I have some real simple sample code shown below that executes every time a user changes a cell in the worksheet (the code is a property of a single sheet). Let say I have some real-time feeds in the spreadsheet (say reuters or bloomberg), is there a worksheet event that would detect each time one...

<t>yes there is a large spread, since the respective contracts settle to the libor fixings, they are subject t liquidity constraints (availability for financing) With a 3 month libor borrowing, an institution can lock in financing over the next quarter end, whereas by rolling 1m, you are subject get...

many thanks!

anyone have the formula for option price which uses normal vol as an input?