<t>Hello all, I am reading Hagan's paper "Methodology for callable swaps and bermudan Exercise into swaptions". Does anyone have an idea on how to generate a set of weights for (4.12a)? I googled it looks like gauss?hermite quadrature Expectation of Normally distributed variable but how to prove thi...

Hi all, I am confused by the equivalent USD Fed Fund Curve. For example, the trade currency is EUR and we have an EUR curve say EUR 3M. How to get the equivalent USD Fed Fund curve for EUR? Thanks~RegardsHappy New Year~~~~~~Matrix

<t>Hi TinMan and bakait, Have your guys clarify this? Actually I have the same question with bakait. My understanding is for each currency, no matter what kind of tenors you pick up you can only construct one unique yield curve based on bootstraping. Based on this yield curve, you can get 1m, 3m, 6m...

Thanks a lot. I am still reading these kind of things. Wish I can digest everything soon.RegardsMatrix

Hi Golddiga, Could you please post the paper you mentioned? The link http://www.finmod.co.za/WestYieldCurvesOIS.pdf has been dead.ThanksMatrix

<t>Hi Pimpel, Sorry, I have one question for your post in the thread "which is the right curve for discounting?". You said "How would you precisely calculated the EUR discount curve? Would that be correct, if I:1) calculated USD cash flows using USD Libor 3M projection curve2) discounted them using ...

Hi pimpel, Thanks a lot. Actually I google this topic over 2 weeks. Probably I input the wrong key words, I will take a look on what you mentioned. Thanks a lot~~~~RegardsMatix

My understanding is I add the basis spread to the instruments for the base curve and then bootsrap. Is this correct?

<t>Hello Everyone,I am working on rates desk but I never touch this before. The question is how to construct the basis curve and Xccy curv e based on the market quote. Example 1 for Basis Curve, CAD 3m vs CAD 1m, I choose one stub rate, 7 futures and 15 swaps (2y,3y,...,40y) and I can get the market...

I think this is very simple question for your guys. Could you please recommend some docs or books on the market convention on the curve, i.e. basis curve, xccy curve... I google this topic over 2 weeks and I can not find any information on this topic. Please help me out.ThanksMatrix

<t>Hello Everyone, I am working on rates desk but I never touch this before. The question is how to construct the basis curve and Xccy curv e based on the market quote. Example 1 for Basis Curve, CAD 3m vs CAD 1m, I choose one stub rate, 7 futures and 15 swaps (2y,3y,...,40y) and I can get the marke...

Hi All, Does anyone know Murex Tremor' Local Vol/Stochastic Vol hybrid model? Prof Uwe Wystup has validated this model. Does anyone know more information on that, i.e. reference paper or tech documentation? Thanks Matrix

<t>Hi All, I am reading the paper of Hagan's, "Managing Smile Risk". How to understand the first line in 24 page? It was said "Integrating the A derivatives { epsilon^2 * rho * v [A^2C(F)p] with respect to F and A} and {0.5*epsilon^2*v^2[A^2*p] with respect to A and A} over all A yields zero. Is the...

<t>Hi all, The regular way to calculate implied vol is to deploy the numerical method i.e. Newton-Raphson or bisection to do that. But for deep ITM or deep OTM or very small time to maturity, these methods are not really good. Corrado and Miller have pointed out an analytical formula to calculate im...

<t>First I really appreciate the authors' contributions on this book. As discussed before, if this book will be with code or not, it depends on the author's focus. If this is just a pure theoretical book on mathematical proof, it is fine. Otherwise this one turns out to be a practical handbook, code...