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- January 31st, 2005, 10:03 am
- Forum: Technical Forum
- Topic: Instruments to calibrate Hull-White to price CMS swaps
- Replies: 30
- Views: 170466
Instruments to calibrate Hull-White to price CMS swaps
Hi Pat,can you send me the paper as well. My email address is agneau_cam@hotmail.comThanks in advance.Regards.
- January 28th, 2005, 9:00 am
- Forum: Technical Forum
- Topic: CMS Spread Option Correlation
- Replies: 5
- Views: 164635
CMS Spread Option Correlation
Do you have arbitrage-free condition?How correlation could be greater than 100%???