Depending on the page, you can just record the macro, and then edit the code.Yes, this opens up the page, so it's not the best way, but if it's something simple it does the job.

I'll try SABR, my HW model calibration is a bit tricky as it needs first the cap Black Vol at that strike...Thanks for your suggestions

Thanks all for your answers, after a bit more thought, rates are different than equity for instance,as rates are mean reverting. So I'll try pricing with a better model and forgetting about Black vol,as you have suggested.

<t>Hi, I am looking for some guidance on how to mark options where the strike is well above the ATM level i.e. I don't see the strikes quoted in BBG, Tullet etc,and a dealer would charge more for the hassle of writing the option.Other people must have this problem as well, so I am looking for some g...

Sorry you took my comment in the wrong way. I didn't know you were the sameperson. What was funny is that you username and the company name was the same,that's it.Your profile is hidden, so there was no way to know who you were, sorry.Juan

Funny that savvysoft asks about this, as Savvysoft, the company, had a press release at the endof January where they talk about a tree-based LMM model implementation. Multidimensional.

patzoul, I came across a JPM paper on Variance swaps, everything was explained very well, and it had "quick" calculations as well. Sorry, I don't have it, but you should ask some friends at JPM.Juan

<t>Hi, I'm pretty new to Convertible bonds, and I need to find out aboutconverts and their greeks. My system is showing theta, gamma and vega as positive while delta neutral, any thoughts of what can be wrong, if anything?What can be a good starting point to look at the greeks of Convers?I think som...

Hi, maybe there is something I don't see, but you can change variables by taking log. Tell us if it works.

Actually, and also quickly, Schonbucher's book, chapter 10 is a well-written piece. It is missing the very important issue of base correlation,for that check the base correlation thread in the tech forum.Juan

This topic is very interesting; one can consider sensitivities toseveral different input parameters. I would also like to hear opinionsof people already involved in this type of work; I would like to knowhow they consider sensitivities to different defaults, correlation curvesetc.

Anyone has any thoughts on COAS model from BOA?Is this a good tool?, is is used?, anyone can compare itwith JPM's?Just getting started in this and I'd like some experienced intuition, opinions, or trouble with it. Thanks for any response,Juan

<t>smf,the math faculty involved in the program are Steve Shreve, David Heath and Dmitry Kramkov primarly. Other professors interested and working in related problems are Reha Tutuncu, Kuvita Ramanan, Roi Nicolaides and Shlomo Tassan. Shlomo is more involved in numerics, but he is advising a dissert...

Thanks erstwhile!, looks interesting,Juan