<t>Hi - I was wondering if the problem below requires a Monte Carlo approach, or is there a nice closed form solution?Special shares are convertible to ordinary shares every year over seven years if certain performance criteria are met.The performance criteria is that the total shareholder return TS...

<t>Ok thanks.Is there a thread where this is iscussed in more detail? I haven't been able to find something pitched to my (low) level.I'm struggling a bit with the fact that the PV of two payments of identical magnitude, scheuled for the same future date, may be different when they comprise part of ...

But there is a single unique Libor zc-curve that incorporates interbank credit risk and would be used to discount all future cash flows, regardless of the tenor to which these flows are referenced?

<t>Sorry, not phrased well.I suppose that I'm getting at is that I would assume that you discount future flows using a zc curve. However, I'm hearing (from my colleague) that you can discount using a 3m curve or a 6m curve. From a swap valuation perspective this doesn't make sense to me as all futur...

<t>Hi,I've a query about the zero-coupon curves used to discount interest rate swaps.Can a zero-coupon discount curve be tenor-specific? I would not have thought so; a zero-coupon rate is the single rate applicable to a single payment in the future. However, a colleague of mine is arguing that diffe...

In SWPM try :Products...Browse All...Emerging Mkts...??

Sorry, didn't read the end of your question but I would guess that very few hold these at FV but those that do probably don't credit adjust!!

If held at amortised cost then no, if held at fair value then yes, they certainly should.

Ok, managed to get on the terminal here and got my answer...they don't!

<t>Hi,I can't access Bloomberg myself at the moment but does anyone happen to know if they have a standard calculator for an instrument that pays out based on the number of days that one equity outperforms another.ie. n/N where n is no. of days where P1(t)/P1(0) > P2(t)/P2(0)If anybody has used Bloo...

Maybe check out a range accrual as a start.There are lots and lots of path dependent derivatives out there, make up your own if you like! Even within your list below there are countless variations.

Hi Kamil90,If you would like a list of the more mainstream examples of path dependent derivatives have a look through the Bloomberg OVME/OVML and SWPM instrument lists. You should find some that meet your criteria there.BB.

<t>Hi,I am trying to settle a bet and would appreciate your help.For the valuation of a vanilla cross-currency swap, 3M USD vs 3M EURIBOR with final principal exchange, a colleague of mine is arguing that you do not need to use the respective forward curves. His argument is that (and I quote):======...

Thanks Costeanu...hadn't checked boards for a while (so didn't see your response) but had used the approach you suggested for my model. Appreciate your response.

<t>Hi,I'm trying to model a CLO structure as simply as possible and have taken the approach of modelling default probabilities as Bernoulli random variables, and then applying a correlation effect between these entities. On a very high level, I was wondering how this correlation is achieved. I haven...