<t>Thanks horacioaliaga for the offer. I would love to have a look at your spreadsheet. Will pm you later for my e-mail. BetaExoticBets, the basket return is just a simple average of three currencies' return (against USD) measured monthly. If the basket return hit x% in any of the monthly measuremen...

<t>Thanks for the replies.Have looked at most of the suggestions and methods and the general idea was to:1. Derive the implied risk neutral probability density of the three underlying2. Joint the distributions using copula3. Use MC to price the option.However, can't I just simulate the numbers for e...

<t>Hi, I need to price a barrier option on a basket of three currencies. The option will return max(y*basket return,0) if the basket return does not hit H return during one of its returns (measured monthly against the base) in its life. If the basket return hits the barrier at anytime during the opt...

<t>I need to price a barrier option on a basket of three currencies. The option will return max(y*basket return,0) if the basket return does not hit H return during one of its returns (measured monthly against the base) in its life. If the basket return hits the barrier at anytime during the option ...

Hi, anyone has this paper: Johnson, Herb (1987). Options on the maximum or the minimum of several assets, Journal of Financial and Quantitative Analysis.

Thanks for your reply Jomni. The thing is, I have nothing but the yield. What I have is actually indicative yield for AAA rating bonds, regardless of duration, and nothing else. So I have only the yield fgures to work with.

<t>I have a weekly series of bond yields for a certain rating group, etc:7/12/05 - 4.514/12/05-4.621/12/05-4.52 . . .and so onDo I calculate the volatility of the bond as the standard deviation of ln(Yt/Yt-1) times sqrt(52)? If so, what are my bond returns cos I need to do the return vs risk ratio.T...

<t>Hi, I need some help here on VBA codes below. I wrote a code to calculate covariance based on reducing weights:Function NCovar(bond1, bond2)Dim avret1, avret2, wgtDim covar1, covarDim noRow1, noRow2, noRow As IntegerDim z, i, rcount, y As IntegerDim bond1vec, bond2vec As Variantavret1 = Applicati...

Sorry, saw a flaw in my previous post.

<t>Don't see why must there be only one rep. Can't it be that anyone who visits the first time keep the glass bottom down. If they visit the room after that, they will turn the glass bottom up (if its bottom down). Should any of them count 100 times they have seen the glass bottom down, then everyon...

Hi, how do I calculate the annual volatility of a 1 dollar bond fund that has the per unit price of 1 dollar, with the investors getting the yield? The only data I have is the daily yield of the fund.Thanks for any help forewarded. I really need it urgently.

Appreciate it, Lenni. Will figure out the rest.

Thanks. Can you give me an example?

Hi, can anyone give me pointers on how to manipulate DOS programmes (such as inputting DOS commands) using VB codes. Any help will be appreciated.

Hi, anyone here who can give me a good recommendation of bond fund attribution system, other than those provided by Barra.