<t>MattF is correct.End of Month (roll) convention tells you how to generate the unadjusted calculation period dates on swap leg. The confusion arises when first regular period start date or last regular period end date is on the end of a month. A roll convention decides, either it is a specific day...

I have used sharelatex for the last 6months, and am very happy with it. I guess it is like google docs. I like being able to access the docs and editor from any computer.

The old paper in Risk Magazine, "Basis for change", 1995 by Fruchard et al is the first glimpse of a consistent framework that I have seen. They specifically consider interest rate basis and ccy basis swaps in the same framework.

<t>When interest rate swap are cleared, you are compensated for funding the VM, the so-called "price alignment interest" which means there will not be the convexity correction you are thinking of, and the swap is economically equivalent. However, this PAI is only for OTC products, the futures contra...

Digitals are often priced by replication with using call spreads to capture the skew, rather than assuming Black and plugging in the vol at the strike which I guess you are trying to do.

<t>The Hagan and West paper, "Interpolation Methods for Curve Construction", Appl Math Finance, 2006 has some discussion on the localness of hedge recommendations. There are examples of classic bump inputs and revalue as you describe and the alternative of perturbing forward curve and computing equi...

<t>Code escrow is usually used when you buy software, part of the deal is that a copy of the code for each release of the software gets put to an escrow, so that if the software company goes bankrupt, the licensee of the software has access to the code. Your situation sounds more like you want licen...

<t>Without sounding too obvious, if your company is a closed source software company, much care is needed to be sure you are using the code/library in a way that is consistent with the open source license. There is often misunderstandings between each of the variations in open source licenses, and y...

<t>If you assume caplet's forward rate to be normal, this also leads to exact analytic formula, the Bachelier formula, which you can just plug in your bpvol directly. If you are constrained by your system, and you are forced to evaluate the Black-Scholes formula for caplet pricing, then you can stil...

The swap future has structure very similar to bond futures, without complex delivery rules, so the papers of Henrard on bond futures should help.As I understand it, the active contracts are quite short and so the correction is very, very small.

<t>We have payoff functions described by an expression defined at runtime. For numerical schemes it is helpful to know where the 'kinks' in the payoff are located, for example strike or local barrier level.how best to identify the kinks, even approximately, so that numerical scheme can be concentrat...

In a recent paper of Marco Bianchetti on pricing with mulitiple curves, there is a reference to an article I am unable to obtainGoldman Sachs, ?Overview of EONIA and Update on EONIA Swap Market?, Mar. 2010.Does anyone have this article?

I use this, works well for my purposes. I like the ability to see the preview beside the latex document being edited.

These papers are worth reading, they have some good approximations and discussion about computing implied vol.M. Li, "You Don't Have to Bother Newton for Implied Volatility", ssrnP. Jackel, "By Implication", Wilmott magazine

Z. Hu, "Cutting edges using domain integration", Risk, (Nov) 2006 has some mention of TARN's on trees.