Hello,I need to price an MMD (AAA) forward rate lock. Can anybody shed some light on the pricing methodology? Any help is much appreciated. Many thanks

Robbie, I believe Tullett Prebon has a fee based service for Swaptions Skews and Cap/Floor Vol matrix.Reuters page SMKRBloomberg SMKR <go>Hope this helps

Diskiss thanksWhat about using swaptions?

Hello,I would like to learn how to effectivelly hedge my exposure to a SwapCurve inversion (30-2) using Swaps, Swaptions or Cap/FloorThanks

Chiara, type SMKR <go>. It should be fee based

Maybe you might interested in this:Tullett Prebon have a product called SwapMarker Plus (Swaption skews and Cap/Floor Surf Vol). It's available on Bloom and ReutersIt shows real time prices from their IRO desks.

I am looking for the files in the shared directory but I cannot find anything. Can anyone send them to me?Thanks

Hello,I am trying to build a model to price asset swaps on inflation linked bonds (CPI).Could you suggest few papers on the subject or shed light on the methodology?Thanks for the help

I am trying to calculate an entity implied def. probability from market spreads.I know Moody's is doing the same through its MIR tool (Market inplied ratings).Do you know what kind of methodology they are using?Are they using just corp. bonds or CDS as well?Thanks for your help

<r>Hi, I don't like the data from Mark-it. They provide consensus pricing info (not real trades), for non data contributor is limited and too expensive. I tried GFI, but to improve coverage they estimate a lot of pricing info.I am using CDR - Creditex. <URL url="http://www.cdr-llc.comThey">www.cdr-l...

<t>my understanding is that, since CDS and bonds reference the same entity,we can assume that the default risk is the same, so any difference in spread should be related to different assumptions on the recovery rate or expected LGD.An investor that buys the bond, which is trading above par, should h...

Hi,I am looking for good bond pricing sources (FTB based). I know already FTID and Bloomberg.Do you have any suggestion?I am interested in Europe and USAThanks

Beru,I am in your same situation. I have also some excellent CDS time series.Maybe we can share our findings.

<t>I am trying to compare a series of Bonds with a credit curve generated by CDS prices. Since the CDS is a par instrument I think I need to adjust the spread (Z spread) for the above-par or below-par bond to account for the difference in LGD.Bond spread/Bond adj spread = (Price b - R)/(100 - R) whe...