Hi, can I ask a couple of questions?1/ is GBP YoY cap/floor liquid? broker quotes available?2/ is GBP LPI liquid? broker quotes available?3/ which one is more liquid of the above two products?Thanks so much.

Hey,Anybody can help with this, please?thanks

Hi,I know ATM forward swap rate is the ATM strike for European swaption.Is forward CMS rate is just fixed rate for the fixed leg that makes the CMS swap valued at zero? then what is ATM (at the money) strike of CMS Spread Option (Cap/Floor)?thanks,

I am not too sure. can anybod who knows this help, please?

No, I don't think so.Actually I think this quote is for callable bermudan swap, so 50/58 could be the bid/offer strikes. But not sure what +1 is. Can anybody help?

Can I please ask what the below quote means for bermudan swaption? what does +1 mean?20nc5+1 50/58

Hi,Does "20yNC5y+10 accreter" normally means accreting cancellable bermudan swap 20y non call 5y? how does the notional accrete in this case? does notional accrete from the end of 1st year during the 20y peoried of the swap?thanks

Thanks Alan. I suppose differential geometry and Riemman manifold are prerequisite to this topic?

<t>Hello,I have five month to complete a MSc Thesis. I am interested in swaption/stochastic vol/SABR related topics. My math level for stochastic calculus is beginner to medium and I can understand most derivations in Shreve Stochastic Calculus in Finance II. Also have learned basic derivations for ...

Thanks.But I see a trade with front and back exchange (back exchange of the reduced notional). However, just notional schedule mentioned on confirm without interim back exchange of amortized notionals.

<t>Hi,Just want to know for this type of swap, does the amortized part of notional need to be booked as cash flows each time when it is amortized? as ccs normally need to exchange the notional at the beginning and the end. So for amortizing version of ccs, does it need to exchange back the amortized...

Does Bloomberg SWPM screen follow this rule (pay/receive fixed always from buyer perspective)? this means if position is "short" and select "Receive Fixed", which actually means seller pays Fixed in the underlyer swap?

Please help to clarify one thing:When I sell Receiver swaption, do I receive fixed rate or pay fixed rate?thanks

Hello,Why ALib use Growth rate in Option valuation functions, say OPT_SENS_AMERICAN (trinomial tree model for American option)? is this real world growth rate, like the projected growth in Bloomberg BDVD page? Should this one risk free rate in the risk neutral world?thanks

<t>As I understand,Spread DV01 P&L from change in credit spreads (spread curve).Interest Rate DV01 P&L from change in swap ratesdefine the Risky PV01 (RPV01) as the expected present value of 1bp paid on thepremium leg until default or maturity, whichever is sooner.Contract Value of a basis p...