<t>Would like to know of any methods that can be used to determine the price of the option inherent with the short in a CTD. Since the short decides which bond to deliver, the option should have some value. How can one obtain the value of this option in the absence of an interest rate option market....

How is the duration for a basis swap computed?1. Is it simple the difference in the time to next reset for each of the benchmarksor2. Splitting up the swap into two fixed-float components, computing the duration of each and then adding the component durations.

<t>The relative export competitiveness of the Asian currenices vis-a-vis China improved (marginally)after the revaluation of the yuan. Hence the increase in demand for these currencies. Also, the markets expect the yuan to gain further, and the subsequent appreciation of the Asian currencies reflect...

<t>QuoteOriginally posted by: NamelessWonderLike any country the people in India are probably normally distributed as far as math skills are concerned. I feel that the lack of a well developed financial market may have restricted the growth of Quant Fin kind of jobs.Remember that India has emerged f...

The VaR of the OIS swap should definitely be lower than that of a comparable bond. If u are using the cf method, the floating cash flows obtained from a fwd curve, will reduce variability of the fixed side cfs.

The indicative VaR estimates for 1Y and 5Y OIS indexed on the O/N Mibor should be in the range of 0.05%-0.1% and 0.3%-0.4% (of notional principal) respectively .However, the VaR figures could differ based on methodology, and connsideration of correlation effects.