@vegavexity : What do mean when you refer to the "realized swap rate?"I think piterbarg is refering to the fixing rate.In Euro all the cash flows are discounted at that rate, thus at a flat yield curve, while the physicaly delivered swaption depends on the slope.Hope it helps

double post deleted

<t>Hi JamesH83,>> am i correct in believing FX options are traded on a more volatility basis and IR options more directionally?I am not too sure I understand the question ... but I will give it a try. I have no personal experience on fx so I'll stay out of that, but in interest rate markets I see th...

FX means one asset, while the yield curve is an inter-related system ... that's a big difference per se.

not many people around.cheers .

<t>The IRS market quotes either for spot start or for forwards by terms : Rate_(t,t+1Y,t+ 2Y). Forwards arn't liquid because the level and the curve are played at the same time. To play the level one trades the outright and for the curve, the spread : Spread_(t,t+1Y,t+2Y) = Rate_(t,t+2Y) - Rate_(t,1...

Nice experiement QuantBroker, wow !

IMHO Joshua2004, if your - non amortizing spot start cap - does non give u the same price per strike for black vols and your stripped caplet vols, there must be something fishy going on...for euro flat vols Icap has got a good page : vcap3.

done. a friend of mine invited me.thx.

OK I'm late... maybe someone could ivite me anyway?bahamianman2004@hotmail.com

I agree daveangel and add that - Boutros is Arabic for Peter - or 'pierre' in French which means 'stone' in English, and in a semantic small-world, Ghali is closer to 'rare' ... so we get your rare stone.

3. the usual typo and convention for swaptions and cap/floors is respectively : nYmY and nxm.i.e. : for swaptions 5Y5Y is a 5 year option into a 5 year swap and 5x10 is the basket of libor options starting in 5y. Not to mix up with the 5Y10Y spread for swaps, 10Y yield minus 5Y yield .

<t>I'm with you HankScorpio,Yes financial markets (and social sciences in general) are harder than sciences of the nature because they are self-referential; traders try to predict a system within which they are a part. In this context their own expectations influence the probabilities of future even...

learn to speak google, it only takes 4 words : two string burn quizhttp://www-users.york.ac.uk/~socs337/quiz/answers1999-2000/ansString.html

<t>Tripitaka, I feel that making markets upon request and getting agressed on your own misquotes is not allways fun, especially having a whole bunch of greedy, maybe informed, jackals against you; but extracting value from the market requires a lot of talent.Sorry tronc, this does not really answer ...