If someone has part 2 pl put it on the website in pdf form...would be helpful to lot of guys...thanks..

How to calculate delta of CMS., where one leg is fixed and other leg is CMS yield??

What is the PVBP of a simple Swap??

QuoteOriginally posted by: MFordeso what vol u plugging into the Black formula?same vol as in the case of HJM. In fact I was trying with the simplest thing. I took Initial forward rates as 0.05 and volatility as 0.08 for all maturity then also it was not giving proper results.

<t>QuoteOriginally posted by: MFordeare u using the correct formula for a cap under a Gaussian HJM framework?I've seen it in chapter 8 of Bingham+Kiesel book in the past?I do not have that book. Could you please give the formula for the same. Here I am actually not using any direct formula. I am fin...

<t>Hi all,I am modeling forward rates in HJM using Monte Carlo Simulation. Using simulated forward rates I am pricing Caps. But the Caps Prices that I get from this are much much away from Blacks prices.I am attaching HJM code file.Can someone please tell me where is the problem in the code.Thanks -...

<t>QuoteOriginally posted by: VitoQuoteOriginally posted by: mpsinghQuoteOriginally posted by: VitoQuoteOriginally posted by: mpsinghQ3:There are three types of convergence. 1. Convergence in probability 2. Convergence in mean square 3. convergence in distributionReally? yeah, really..But speaking s...

QuoteOriginally posted by: VitoQuoteOriginally posted by: mpsinghQ3:There are three types of convergence. 1. Convergence in probability 2. Convergence in mean square 3. convergence in distributionReally? yeah, really..

Q3:There are three types of convergence. 1. Convergence in probability 2. Convergence in mean square 3. convergence in distribution

Hello all,Does any one have access to papers in which the authors have used the volatility of historical forward rate for developing models in HJM framework.Thanks

<r>Hi leonardo,quote---------------------------------I have an article in PDF which is called "Value at Risk for Corporate Portfolios" from Journal of Fixed Income. ---------------------------------Could you please mail the article to me.my email id is: <EMAIL email="mahendraprsingh@yahoo.comthanks"...

<t>Hi pedro,The best way is the combination of all three. Intuition and experience along with mathematical rigour will always give best results.As far as mathematical technique/method is concerned you can proceed in the following sequence:1. find out the auto-correlation and partial auto-correlation...

Hi leaonardo,I am sorry, I do not understand Portuguese. It would be better if you could explain the main ideas, problems,summary of methodlogy and final results in English.thanksmpsingh

thanks a lot leonardo!You r very right and I am also facing the problems mentioned by you. Could you please send your paper written on the topic. It will provide a good understanding to me.my email id is: mahendraprsingh@yahoo.commpsingh

<t>Hi all, I have a doubt related to the implementation of the HJM model for pricing interest rate derivatives in Emerging Markets. (say simple Caps & Floors)Usual practice in implementation of HJM is to find out current forward rates from the ZCYC and then extract the volatility structure from ...