<t>So, let's start. Actully we have two main types of swaps: first is IRS-Interest Rate Swap and OIS-Overnight Index swap. In IRS you already often pay or recieve fix/float 3m,6m or may be in such cases more. In OIS you are similar but you do your cash flows every month and float leg caculated based...

Thx a lot, but could you explain it in a little bit details pls. Because only what i can replace it theta*dt by 1/2*gamma*sigma^2*S^2dt if r=0 from B&S equation. And what about r(Vi-Va)*dt i can't understand.

Could somebody explain me the calculus from this paper on 22 page. Am i right that we suggest that r=0? Or else i can't understand how we can derive the final equation. Unfortunately i can't attach it, but you can find it in forum too.

<t>So, the best way to implement your predictions is to sell today in a case of vol will fall and buy options in a opposite case with simultaneous delta hedge of your position. No matter what kind of options it will be : calls or puts. But it could not be a short-term trading, proxy about 3-4 weeks....

<t>Does anybody can help me? I have to calculate the Forward IRS duration, actually i divided this task to calculate separately long forward bond duration and short forward bond duration. In short leg i pay floating 3-month rate after 1y since today ( i.e. i should pay after 1 y + 3m float rate )and...

<t>Hi everybody,There are a lot of types of swaps, such as IRS, Currency, FRA, Asset swap etc. It is very interesting and big in terms of amount business in the world. Essentially it concerns for developed markets, where you can find all interesting you information, than in emerging markets. But las...

Could you please refresh this link. Regards.