<t>Thanks for taking the time to reply! Just to make sure I understand, when you say that the "last day is exclusive" you are referring to the expiration date, no? Because the DI futures literature talks about a "last trading date" (usually the last business day of the month) separate from the "expi...

<t>I got no answer so I am posting my conclusion after further investigation:It turns out that the level "today" (on trade date), CDI_t, is not published at the beginning of day 't' but at the end, and refers to trades done during that day, and not the previous day. Thus, on the last trading date, t...

<t>I hope this is the right forum for this question... I am not a "newbie" but I haven't posted many messages in this forum.I have to implement pricing and lifecycle events (expiration, mark-to-market, etc) for Brazilian DI futures and, after reading all the material I could find, am still confused ...

<t>Hi! We have a situation where the vols for the ATM swaptions are "known" (market) and users provide the vols for non-ATM swaptions for a series of strikes (specified as spreads over the ATM strike), but not for all NXM swaptions, rather for a limited subset (e.g., 1X1, 2X2, 3X3, ...). I have been...

<t>I called Reuters and the guy said that the CAP/FLOOR strike is stored in a "General Field" (number 995, if anybody wants to know), but that is only applicable to these RICs (for all currencies, according to him).As for the swaptions, he said that ICAP doesn't provide the strikes to Reuters, so th...

<t>On a related note, how can I find the strikes for the ATM swaptions that are published? E.g., USD3MX3Y=ICAP gives me the vol for a 3MX3Y swaption ATM straddle, but what is the strike? I couldn't find any RIC symbol for this, in contrast to the case of ATM CAPs/FLOORs.Again, thanks for the help! <...

Thanks for the replies! Next question that comes to mind is, is there a rule to map the RIC to the strike? What I am after is logic that can be written into a program to get the right strike for any currency. Or do I have to "hardcode" this maps for each currency?

<t>Hi all. I have to write some code to parse a RIC symbol for the CAP vols, which look like US2YCSTK2=ICAP. My question is, what is the strike that this RIC refers to? Is it a rate of 2%? Or is it something else and I have to worry about looking it up?I have seen that from Reuters you get vols for ...