if we are using the method Adonis has suggested,that is, simulating forward rates using Monte Carlo and then arriving at forward swaps, then do we need to account for convexity correction term?

Please recommend any material available on net on hedging. Lets say I need to understand the practical aspects from scratch. as of now specifically for range accruals. I have read the paper written by Mr Patrick Hagan.

<t>Quoteyou say that indians are leaving for US..is there a huge demand for indians over in the US the best people from India find it easy to get jobs in States. from a batch of, lets say, 180 from my campus some 20 people get placed in US every year. to answer Galois...I have heard of some firms ou...

<t>for the starters, i am working in India. I have recently started working on a forward rate model. i have replaced the person, an Indian, who was earlier working on this project and has now left for the States. This is the first time I have come across such an initiative taken by an Indian firm. I...

<t>I had posted this question in the student's forum earlier, however, there was no reply. so i am posting it here.I need to calculate the value at risk for an interest rate cap. the historical simulation techniques pose a problem because for a paricular cap the historical data does not appear to ho...

<t>Quotethis delta is the aggregate delta for a parallel shift. In that sense, it's the sum of the caplets, where each caplet would be hedged with a particular futures expiration (6 months apart). does this mean that since the delta of a cap is a sum of deltas of some N options/caplets, it could be ...

<t>Monte Carlo Method will involve finding the correlations among the caplets, determining a forward rate process and a volatility process. However, in a Black's model, I just interpolated rates and vols. So how do I do the sampling of changes in rates and vols for building the scenarios? Finding co...

I calculated the premiums for ATM Cap and Floor with 5-year maturity. They should have been same, however, there was a difference of 30 bps in the premiums. Can it have something to do with the model assumption/excel (i hope!) or will there be a mistake in the model implementation?