<t>If you have access to Bloomberg, the page CDR GB <GO> and CDR US <GO> will take you to the respective UK and US good business /settlement day calendars. Alternatively, you can shell out a small fortune (£60-odd quid) for a 'EuroMarket Dayfinder' which is basically an industry-standard trading and...

Should it not be Option cost = Theta * 260 ?(where 260 = number of trading days per annum)

For the ATMF (at the money forward) straddles you simply use the swap curve to imply the strike.E.g. for the 6m3y strads, the strike is the implied rate on the 3y swap starting in 6months time

<t>There are a number of different ways to do this – but in essence what you need to do is to build a yield curve reflecting the yields of existing bonds in the market, and their respective maturities (make sure you only look at bonds from the same credit risk class and liquidity) and basically use ...

Are you talking about costs of funding bond positions via repo and reverse-repo?