There is paper by Uwe Wystup on this subject about geometrical relationship that has been mentioned. CheersJugal

<t>In currency markets we have option on the base pair and the option on the derived pair. For e.g. option on USDFCY and option on EURUSD.. now if i want to have option on EURFCY .. i find correlation between USDFCY and EURUSD.. i have the vol of USDFCY and EURUSD.. i find vol for EURFCY and price t...

The yield of the swap is 3.83%.Regards,Jugal

Thanks Daveangel for your reply.But i am still not able to reconcile the matlab duration (4.75) with calculated duration without principal (3.47).Appreciate your reply.Thanks and Regards,Jugal

Dear Hazerider,Can you please post the file hedging.zip again. I have been unable to download it.Regards,Jugal

<t>Can somebody please explain how does the Matlab function "libor duration" works?Given below is an example where i have given duration as per my calculations and also as per MatlabFor ExampleSwapFixRate = 0.0383;Tenor = 7;the fixed side of swap as per matlab has duration of 4.7567 (as given below)...

<t>In our market central bank controls the Exchange rate. This has led to a very liquid onshore market in forward swap. The volatility in forward swap quotes is much higher than that in the spot market. In such a scenario1. Is calculating spot volatility using spot history a good proxy for forecasti...

<t>Hi All,I am facing a peculiar problem.Put Call parity is the basic premise of black scholes pricing. Where call plus bond is equal to put plus stock.From which we can derive that when S = K*exp(-rt) then Call price = Put price. So when Strike is equal to Forward Stock price .. call price should b...

Hi Pat, Would it be possible for you to mail me this article as well. Regards,Jugaljugal_parekh@yahoo.com

Hi Would it be possible for you to send me the paper on CMS/DRS convexity adjustment. The link mentioned on forum does not work any longer.. hence am not able to get the paper.Regards,Jugal

Hi We are using GK to price currency options.. considering put call parity.. ATMF call value should be equal to ATMF put value but this is not the case..Has anybody else faced the same problem..Can somebody please explain this.. Thanks and RegardsJugal