<t>Hello all.I apologise in advance for this rediculously silly question.I have daily observations of 10yr swap rates (i.e 251 daily observations).I want to use this sample to estimate historical vols of the 10yr swap rate.What I do is the following.... 1.calc the daily changes in the 10yr swap rate...

Hello all.i have a "street terminology" question.As we all know Vega=Dprice / dimplied VolWhen someone says that a trade would loose 1mi euros if vols rise by 2 vegas,what do they mean?How does the change expressed in vegascorresponds to change in implied vols?

<t>hello allConsider a binary option with the following payoff: +1, when 30y-10y swap rate > 0 0 , elseToday is time=0, the spread is observed at time t and the payoffis paid at time T.I am trying to price and/or extract the probability that 30y-10y>0, under the assumption that the spread is distrib...

<t>Could someone explain to me the differences between the various stub conventions?-Stub First-Pay Accrued- -Full Payment (i think this means that if there is a partial period, make the payment as if it was a full period)Could someone explain what the other two conventions dictate?Thank you all in ...

thanks kurve

<t>there is a certain structure with a certain payoff i.e a floorthat knocks out when a certain cumulative level is reached.i.e pay max{8%- 3mLibor(set in arrears) , 0}and the whole structure is knocked out when the cumulativepayout exceeds 12% of principalCould someone discuss the motivations and p...

In what ways is the Risk Neutral measure diffusion different than the Fwd Measure diffusion?When estimating it are we calibrating the 2 diffusions using different instruments?Could someone touch upon these topics?Thank you in advance.

Could someone explain the difference between a Act/360 accrual basisvs a Bond/360 accrual basis?Thank you in advance

<t>Pat,thank you for your reply.My apologies but it seems i need some more hand-holding. I am not sure I understand your arguement.Your reply starts with a justifiation for the dislocation between the move of the underlying fwd swap rateand the PNL of the CMS swap. Where i am loosing you is your nex...

<t>Hello all.Is anyone familiar with Yield Curve Inversion trades?i.e from the dealer's point of view...Receive 6mLibor * (% of time where 30yswap>2yr swaps)Pay fixed KThe structure matures in 10 years and in callable in 5yrs.Could someone comment on ...1.which clients would put on this trade?2.when...

Hello all.I know this is a very naive question, but could someone explain to me conceptuallythe role of convexity in CMS?Thank you all in advance.

<t>Hello all.I am going through Pat's paper on Range accruals.There on page 19, he states that if the European swaption is exercised the value of floating leg of the underlying swaption is :V_fl(t,x)=Z(t,x;to)-Z(t,x;tn)+Sum(i=1:n){ cvg(t(i-1),t(i)) * bs_i * Z(t,x;ti) }where cvg(t(i-1),t(i)) is the f...

<t>Could someone explain to me how Leif Anderson is setting up his Early Exerciseboundaries when pricing Bermudans in a MC setting?I was hoping for a detailed discussion as i am attempting an actual (pedagogical)implementation of the approach and i must admit i did not quite understand whythe method...