Just wondering if anyone has any links to papers on valuation of collateralised Equity or FX Options under OIS Discounting?Thanks

<t>Is there a hedge for the changes over time on the PV change between OIS & libor discounting?If I have a vanilla swap that I value using Libor discounting and then OIS discounting, I will generate a pv difference. The value of this will change during the life of the deal according to the size ...

Thanks for your help.

<t>Thanks for that, Have a term structure for the spreads so not just using a flat spread.Have a convexity adjustment at the moment as well, but that actually brings up another point, is it okay to apply the convexity adjustment to the future to get a convexity adjusted price for use in a 3M curve, ...

<t>Hi all,I am building a 3M curve in EUR by subtracting the 3V6 basis spreads from the regular 6M EURIBOR swap quotes, if I also use 3M futures in my 3M curve build, should I use the futures market quotes as they are, or do they need to be adjusted as well?Also, if building a standard (6M) zero cur...

<t>Hi,I am looking at an interest Rate Floor with a Knock in based on an FX rate, for example, a USD interest rate floor of 5% which only knocks in if USD-JPY reaches 100.To value this, would it be sufficient to value the Floor as normal, calculate the probability of the FX rate hitting the barrier ...

<t>Hi All,Just looking for a bit of help/advice. I see a lot of discussions in relation to quanto adjustment on the message boards, but was wondering about a particular simulation question, hope this is not too similar to what has been posted before.If pricing a basket option on equity indicies in 2...

A related question (and probably obivious), is it always the case that:Where A_Cov and A_Corr are the cholesky decomposed covariance and correlation matricies respectively and z is a vector of Normal variates?

Hi all,Am pricing a basket structure by monte carlo was was wondering about Vega on the position using finite differencing, do I bump the vols on all underlying at the same time and reprice to get the overall vega, or is it necessary to bump each underlying and reprice for each one?Thanks

<t>Hi,Thanks for that, got a lot more info, but have a few more questions as a result! Hope no one minds.Looking at a couple of sources and going through the derivations, I am getting the weight for the delta on asset j to be:Where A is the Cholesky Decomposed COvariance Matrix, N is the vector of i...

<t>Hi,Wondering if anyone can give a few pointers.Am simulation a basket on 8 indices with Monte Carlo and wanted to use Likelihood Ratio Method for greeks. Have found a good amount of material on using Likelihood Ratio for single asset simulation but was wondering if anyone had any good pointers to...