Hi All, How can I give out projection for several different interest rate scenarios for the next 10 years with given probability based on today's market information? Any idea is greatly appreciated!

Why is the implied vol. curve for swaption with short maturity more like a smile, while the implied vol for longer maturity looks more like a skew?

methods for computing forward vols based on the swaption surface.

any good paper on that?

<t>QuoteOriginally posted by: johnself11yes - CMT forwards are constructed in this exact way - you start with forward swap rates and then subtract the treasury spread.... the only problem is that the "forward swap spread" is a very thinly traded and opaque market.... for a rough and dirty approach y...

<t>QuoteOriginally posted by: bigslickallstar... vanilla swaps are very liquid and hence trade in very liquid markets of their own, possibly more liquid then treasuries themselves (not exactly sure of that)... therefore swap spreads are an implied result. as opposed to adding a spread to treasuries ...

<t>QuoteOriginally posted by: Collectornot sure if this answears your question but simplest ad-hock way is to calculate zeros from swap curve, then simply adjust for spread agianst treasury, or alternatively adjust for spread first then calculate zeros, if one are looking for getting the last basis ...

Thanks a lot!

There are tons of paper on constructing zero curves based on the information of treasuries.Is there a way to construct the treasury zero curve from libor rate/swap rates?

For LMM with CEV parameter, we can approximate the value of CEV parameter using the equation , where are implied volatilities of swaption.Is there a similar equation for Displaced-diffusion Libor market model so that we can estimate the shifting factor using some implied vols?

Basically, chinese gov treat the christian the same way as how the US gov treat Marxist/communist.But US gov didn't better: Most US people think marxist/communist evil while people in china generaly/naively think christians are kind.QuoteOriginally posted by: ppauperchinese nannies in demand

This is hilarious.What did US do in Vietnam in the 70s?

I think the function (B_t)^3 will do the work.

Two circles with the same origin. The ray comes from the inner circle.