<t>XOPT at the bloomberg...you can find data almost till to 30 years for each currency pairs...coming back to your question...if you cannot find data beyond 2 years ı thınk the best way should be lookşng at the the atm vol curve, comparing with curve of similar fx pairs etc. ...tnis is a trader's ap...

<t>i traded lots of one day one touchs , touchs, no touchs, european digitals etc...most banks do not want to give quotes to those options and you can be very sure that bid/offer spreads are very wide...rather than the model the most important thing is what vol will you assign as one day implied-his...

<t>there is no single rule for choosing the recovery rate...it is the market that determines the recovery rate while trading...on single CDS recovery rate can be negotiated with the bank before you start CDS trading since as a protection seller and premium receiver while obliged to pay the whole amo...

<t>guys i have priced maybe 1000s of swap rates upto now...and believe me those points are very very details...swap effective day is usually t+2 but what you give as a fixing rate is for the next floating payment which might be 1m, 3m 6m ... from now...so you fix the first payment at the date you en...

<t>A fader is a regular vanilla option where the notional of the vanilla is determined on the expiry date rather than by a predefined value.At expiration the exact notional depends on all of the following combined:Predefined spot conditionThis can be set as a range, where the spot must be inside or ...

risk/reward

you can easily find all those from bloomberg...just ask a friend who can send you those...

Any other comments???

Actually I could not download it ...

Thx a lot Pier,In fact I have just ordered it from Amazon...Hope it clearly explains those issues:-)Any quicker reference that you know?

<t>Hi can anyone refer me a book or article about how to run a portfolio of options. Thus suppose I have a portfolio of fx options which includes plain vanillas and exotics such as barriers and digitals. How should I aggregate the total delta, gamma of the the portfolio? Shall I sum up deltas, gamma...

<r>i do not think that the problem is with the number of time steps or paths.. just have a look at the 17th and 18th page of the following study...for fx barriers 10000 paths is even enough for the price to converge....<URL url="http://www.riskcenter.com.tr/Arsiv/2006/03/http/risknews/ic.asp?menu=2&...

Which one is the market practice used to price a delta neutral straddle? Theory is of course ATMF but superderivatives dictates that it is ATM....Any idea?

Which one is the market practice used to price a delta neutral straddle? Theory is of course ATMF but superderivatives dictates that it is ATM....Any idea?

<t>May be we are too much trusting superderivatives...none of us know the exact model it uses but all of us use it....But vanna-volga has the closest results to it and thus I do not think that there might be a better model that we can use for now...So keep on using until developing a new one:-)...Bu...