<t>Does anyone know what model Euronext.liffe use to extract implied volatility out of their options on short sterling futures. I can't locate the details on their website.Nor can I reconcile the "indicative atm volatility" numbers on their 'Daily Information Sheets' with implied volatilities using ...

<t>Thanks for the lead on the model "Collector". What is the title of the book you are referring to? Looks like I should get hold of a copy.Re my convexity calculation using the Ho-Lee model:(i) for the eight futures, T1 = 2, T2=2.25(ii) basis point volatility (SD) of the 3 month spot rate over the ...

<t>Thanks for the responses so far.Dougal12: I'm afraid that I don't have any data on the liquidity of IMM FRAs (versus standard maturity FRAs). I was hoping a trader in the FRA market could illuminate me.dkorsunsky: I've just downloaded some EOD data from Datastream for the period 19 March 2003 onw...

<t>Apologies for asking this here but no-one has replied in the General Forum.In short, do dealers price convexity into longer-dated IMM FRAs?For a research project, I obtained a small batch of high frequency quote data on sterling IMM FRAs ex Reuters (unfortunately it only covers the period Dec 02 ...

<t>Perhaps some of you in traderland can explain a "puzzling" results in my research project.I obtained a small batch of high frequency data from Reuters (Dec 02 to March 03) - unfortunately this was all I could get - containing quotes on IMM FRAs out to the expiration of the eighth (short sterling)...

What model do you/practitioners use to get the 1.3 bp figure?

<t>Thanks for the responses cemil and DavidJN. I acknowledge the inherent limitations of the indicative quote data but they're the only data I could get. They display a lot of variability on a quote-by-quote basis even after filtering out errors and extreme observations.Can you provide any approxima...

Thanks again "inarrears" for those insights in arbitrage.Can you provide approximate "convexity" estimates (Q1)?

<t>Thanks "inarrears".I understand what you say but how do you execute a "perfect" arbitrage when a zero coupon swap is involved? I can grasp how an arb could use futures to arbitrage mispricing in a conventional swap (i.e. one involving quarterly exchanges of fixed/floating rate cashflows), but can...

<t>Apologies for posting this query here but I have recieved little response in the General Forum.I hope some of you market professionals can help answer a few queries to do with my student research project on "swap pricing".I have collected some high frequency indicative quote data via Reuters on (...

A synthetic instrument is created by taking positions in other instruments. For example, a "pay fixed/receive floating" interest rate swap can be replicated by being "short a fixed rate bond/long a floating rate bond". This combination of bond positions is what I refer to as a synthetic swap.

<t>I hope some of you market professionals can help answer a few queries to do with my student research project on "swap pricing".I have collected some high frequency indicative quote data via Reuters on (i) sterling deposits (1 day, 7 day, 1 month, 2 month and 3 month), (ii) short-sterling futures ...

<t>Thanks to all correspondents.I've had a copy of Miron and Swannell on my desk for several weeks. On closer reading I find an example in one of the later chapters assumes the fixed leg payment of the 1yr GBP swap is made annually. I now realise that this is what DavidJN and estcourt were driving a...

Estcourt and DavidJ,Thanks for the help. I've found it difficult to locate references dealing with GBP swaps.I presume the adjustment is as simple as (1+0.0460/4)^4 - 1 = 0.0468 ? Please advise if I'm mistaken.Cheers

<t>Apologies to rocket scientists in advance but maybe a swaps dealer can help explain my "odd" results with a research project.I've been using high frequency indicative quote data (at one minute intervals) to determine the fair swap rate for the 1 yr sterling interest rate swap (quarterly payments,...