Yen Swap - JGB

Anyone knows good model to price swap spread especially for Japan? TIA

Nope. I do know one got senior vp as a fresh Finance Phd, his is truly exceptional though. Goodluck!

<t>Well, it is true for the fresh MBAs. But 2year working experience and a Phd should qualify you at least a 2nd year associate or even higher. There are plenty of opportunities out there besides the normal accociate program. Just my 2 cents. BTW, which firm were you talking about? A couple of firms...

I would say, at least $130k base in New York for a second year associate.

<t>PaperCut, thank you for your reply. It is really an interesting model. I am thinking of testing an affine model with regime shifting, which may have similar effect in terms of estimating the duration of the ZIRP. This method is certainly easier to implement. Just wonder how is the consistency of ...

please send me a copy as well. lancingknight@gmail.com

Could you elaborate please? Are you referring to a short rate model or more complicated model?

What is the best term structure model used to capture the shape of Japanese interest rates?