The GBP Libor spot curve is not upward sloping?Well I think I am totally lost.

Thanks Matinhoul. I do understand that LH9 is the forward 3M Libor but don't you think it is quite low compared to the Libor rates?Isn't it true that the 3M-6M forward rate has to be a bit higher than the 3M spot rate (if the curve is upward sloping)?I am a bit lost I have to say.

<t>Yes Martinghoul. This is what I wanted to say. I did not find any topic providing with clear info on that. But maybe I did not search enough.My question reformulated is that we can see very large diff between the futures' implied rates and the one we can recalculate form Libor. For instance GBP: ...

<t>Hi,In the current market, it seems that more and more Institutions are switching from Libor rates to futures rates as input to build zero curves. Bloomberg has modified their default curves because "Libor rates are becoming less meaningful".Does this means that one have to give up Libor rates?I w...

<t>Perhaps it will be more understandable with an example. Let say I have basket option with the following features: - Maturity 10 years - Underlying: 20 shares - Payoff = 200% of the initial investment if at each yearly observation date (10 observations) none of the shares has been observed below 5...

<t>Hi,I am facing a problem trying to implement model for the pricing of path dependent basket option (Lookback type, Anapurna, Emerald...) with payoff depending on the performance of several (but not all) assets in in initial basket with caps and floors applied to the performance of each assets. Th...

Thanks Jasba!!!!The paper seems to be very interesting.Thanks a million again!

Hi!does anyone ever heard about correlation matrix shrinking?Thanks for any hint...

Hi everyone!I am probably going to ask a silly question but I used the Cholesky VBA code found in Wilmott on Quanitative finance and so far all the correlation matrix I have could be factorize. Does than mean that all my matrix are positive semi definite? Many thanks in advance!

Thanks Ola!

Hi everyone!Has anyone ever heard of "emerald option"?Many thanks!

<t>How would you price a multi worst of option on basket? i.e an option that would have as payoff the average performance of N (n>1) worst performing equity in a basket of M securities (M>N).Will I meet problem when going into higher dimensionality? (e.g M>10)Any suggestion, comment welcome.Thanks.T...