Hi all,Can someone tell me why CMS is subject to vega risk? I can not find any discussion about this issue. Thanks.

<t>Hi all,I am thinking the difference between caps/floors and swaptions, especially in terms of how correlation will affect their values.I've done some survey about previous discussion of similar topics. However I still have few questions and wish someone could help to clarify.1. As correlation of ...

<t>Hi Doc,I think your view about the last two questions are correct. When you hedge CMS with a IRS there exist a convexity mismatch because when rates go high the duration of IRS will be lower than a CMS with the same tenor. If you can access to Bloomberg terminal you can set up a simple example to...

<t>Hi Doc,I'm new here as well. As to the convexity of swaps, you can search relevant discussions and I believe many are very helpful(because I've done before!).Basically, the convexity adjustment in the case of FRA and futures is caused by the nature of reinvestment risk. It has been proposed by ma...

<r>Hi all,I have problems with OU process calibration. I follow the formula displayed in the following page:<URL url="http://formulapages.com/doc/Calibrating_the_Ornstein-Uhlenbeck_modelSince"><LINK_TEXT text="http://formulapages.com/doc/Calibrating ... modelSince">http://formulapages.com/doc/Calibr...

I solve the problem by myself so no bothering.

Edwyn Thank you for your help.Actually I would not like to get involved with too much numerical analysi.that will lead a interesting theory toa boring calculation.Anyway thanks.

<t>Dear all I recently would like to conduct EVT module with excel interface but run into some problems,wich are as follows: 1.First,I tried to use optimizer which is in the excel add-in to estimate parameter,however I failed.Does anyone give me any suggestion?specifically speaking,I use that optimi...

<t>So far as I know,there're lots of article regarding this issue,one prevailing approach is via regression to estimate vol.several papers use "(K/(S*sqrt(t))" as a explaination varialbe in their regression model,where K is strike price and S is underlyingprice and t is remianing time.Also,Some pape...

Hi ellertonthanx for your code!!

<t>Hi Thank you! both your advise help me a lot! One question I would like to ask DCFC is that you said it's not a good practive for setting "cells(i,1).activate".what did that mean?All I want to do is selection a specified cell by asc. order when each loop was executed.If I don't make my problem cl...

<t>Dear All: I am trying to make a VBA macro and the code is as followed:Private i As IntegerSub ab()If ActiveCell <> "" ThenApplication.OnTime Now + TimeValue("00:00:01"), "cd"ElseExit SubEnd IfEnd SubSub cd()i = ActiveCell.Rows.CountCells(2, 2) = ActiveCelli = i + 1Cells(i, 1).ActivateApplication....

<t>Hi wertykal In my personal opinion,It's intuitive to calculate vega of a variance swap according to the weight which is displayed in the close form of a variance swap,and I'm sure you must already know about it. The variance swap is a static hedge(replication)and once you've made it you won't wor...

<t>Hi,DCFC Again,I got the problem on calling procedure.It seems something wrong with my codebut I don't know where the glitch is. Would you help me?Here's my codeSub abc()Sheets("a").ActivateDim i As Integeri = 1Cells(4, 1).SelectDo While ActiveCell <> "" Application.OnTime Now + TimeValue("00:00:0...

Hi,DCFC Many thanx for your instruction.I will try it ASAP!