<t>Hi guys,please help me understand the following as it's still not clear (mathematically and/or intuitively). A "cash-or-nothing" digital has payout of:notional * daycount* QN(d2) * e^-rt, where the payout Q = 7% (as an example), d2 = (log(F/K) - r*sigma^2 /t )/sigma*t^1/2.So allegedly, that shoul...

Should i post this question under another section of the forum??(the index in question is DXY curncy on Bloomberg, the one you often hear about on cnbc)any input appreciated!thnksf

<t>Hi all,i was wondering how to go by calculationg the dollar-index.I know the formula is 50.1438*the products of all the currencies in the basket raised to their respective weights (a geometric average essentially, eur/usd and gbp/usd are raised to the negative power because of the inverse notatio...

<t>hi johnny, thanks for the reply.so right now we got 10 year rate at 4.57%. Is that the fixed rate i'd have to pay the market to receive floating? If so, which floating rate are we talking about in this case?moreover, on the shorter end of the curve, we got a whole series of libor rates. 3m Libor ...

<t>Hi all,what is generally referred to as the US Swap Curve is generally (please correct me if I'm wrong) US Libor rates from 1 month to the 12 month. Thenceforth, the swap rates derived off of the Treasury curve.My question is as follows: whereas Libor rates are used as a "FLOATING rate" index ("B...

sorry guys, just saw a relevant thread under the "search".moderator: feel free to delete.

<t>Hi all,I have a decent statistics and math background, but no programming experience. I was wondering if you could please suggest a textbook to learn Visual Basics for Excel (specific focus will be on interest rates structure models but for now, being a newbie, i just need something to build a sk...

<t>Another way (if you want a continuous change rather than discrete) you can take logartithms and then a time derivative (often used for, say, growth rates in an economy).Ex:Y(t)=gdp level at time 't'.log Y(t)then d log Y(t) /dt= (dY(t)/dt )/YdY(t)/dt is the time change, dividing it by Y (the whole...