<t>I think NDCCS will give you the implied FX rate as you know the non-delivery currency's cashflow is known, and you already have the USD libor index projection and risk free discount curve. Thus you can solve the implied FX rate. For NDIRS, because it is a different market than onshore IRS, thus y...

<t>When an onshore single currency fixed-float swap(IRS) is traded offshore(NDIRS), for example, SGD, CNY, KRW, there are several difference ways to do the valuation1. Using the onshore curve to project the floating index, thus calculate the net cash flow, convert them to USD using the NDF rates, th...

<t>I remember reading from some book (probably fixed income securities), the credit risk between the Libor (A-AA) and Gov is literally zero. Historically there is no such a instance of a bank with credit AAA goes to bankcrupcy. There is one difference, liquidity. Gov Bond is much widely used in the ...

Does the standard interest rate swap use end of month convention or not?

HELP HELP to ask ADSK.I think those data probably can get from Excel API, it is based on currency, for example, USD Currency(swdf 23), I believe there is a field for spot curve. Try to use the field searcher to find it.

I see. Thanks a lot for the help. Are these three ways specified in the ISDA swap standards?

<t>In a vanilla interest rate swap, you can have multiple resets in one payment period. How do you calculate the cashflows? According the text I read from ISDA 2000, about floating payment, you should be using "unweighted" or "weighted" average of all the rates. But one of our guy says you should co...

It focus on implementation instead of the theory of the model, at least that is true for this semester. But it may change as a different instructor is going to teach it in the fall. You can write to the intructor to get more information.

<t>I have a very specific question. For a one factor Hull-White short-term interest rate trinomial tree, we can replacer(j, k) = r(0, k) * exp (j * q)k: stepq: vol * sqrt ( 3 * delta(T) )r(0, k): forward rate from k to k+1with another oner(j, k) = r(0, k) * [ ( Exp( w * j * q) - 1 ) /w + 1];so when ...

For the simple version, it is like a minimum spanning tree which will cover all the nodes(floors). The distance between the nodes is the (time of going to the other floor + searching) * the possibility of not finding her in the new floorSo we are minimizing the expected cost.

sqrt(25) = 5, that is true. But you can not change the order of the operation willingly, which meansa^(m/n) != (a^m) ^(1/n)