The thing is that I need to get a yield curve that looks reasonable. And I have to get it from NDFs. So what is a standard practice - to just extrapolate down from the first good point? Or something fancier than that?

<t>What is the appropriate way to handle the fact that short dated deposit rates implied from NDF markets using parity formula are usually distorted, sometimes significantly, due to the inherent spread between the on-shore and off-shore yields. This makes the short end of the curve for some currenci...

<r>Is there a definitive source for the timing of the Asian "Local Close" NDF closing curves? The one I have is <URL url="http://www.wmcompany.com/pdfs/026808.pdf">http://www.wmcompany.com/pdfs/026808.pdf</URL> , but shouldn't it be possible to get the same results straight from Reuters? That is, if...

The last post here is about 4 years old. Has this changed in any way since then? I mean, how would we rate CMA vs Markit today - in terms of data availability, consistency, etc.

<t>Say, I have a view on the potential dislocation between On-shore and Off-shore currency markets. To take advantage of that I buy one and sell the other. Apart from other risks, one that I am particularly interested in is basis risk between the official settlement rate On-shore (usually set by Cen...

Is there a clearcut explanation behind this approximation? The assumption that a DV01 of $5,000 translates into a Notional of $10 million is widely used.

<t>Would anyone care to comment on (provide some pros and cons) the following list of vendor-provided software packages (indended use is primarily for VaR calculation - low volume of trades - vanilla interest rate, credit, FX product):- Imagine Software (derivatives.com)- Reuters Kondor+- FinCAD- UN...

By the way, Bloomberg calculates both using logarithmic returns - LN(value at time t/value at time t-1) - USSW10 Index <GO> for swap rates and USSP10 Index <GO> for spreads.

<t>Well, percentage shifts still have an advantage of being independent of the level of the rates. And consistent - it is a lot less likely to have a 25BP shift when rates are 3% that when rates are around 12%. And aren't returns being normally distributed? That is I guess the arguments for using th...

<t>Are differences in the calculation of volatility of the swap rate and volatility of a swap spread justified? With rates, percentage moves, or "return" (logarithmic for the most part) is used. Is there any argument to use the same in calculating swap spread volatility or is the use of the abolute ...

<t>Trying to find an inexpensive (as inexpensive as it gets) package that would allow me to price and risk manage small portfolios of CDS, FX forwards, and interest rate swaps. There is bobsguide and lots of marketing materials by the vendors, but no clear indication of comparative value for the mon...

I would still like to try and find a way to get a sensible VaR estimate for a vanilla swap based solely on values provided by Bloomberg - without building/modeling anything. Any ideas in that sense would be highly appreciated.

H-m-m..., no "quick-and-dirty" way to approximate VaR? "Must" build 200-and-something curves and "must" do full valuation?

volatility for USSW10 Index HVT <GO> is 47 (per cent)

Here is a new plain vanilla interest rate swap:pay 2.9%receive 3-mo USD LIBORon USD 10 million notionalfor 10 yearsBloomberg gives DV01 (net of both legs) USD -8,250and is showing market value of USD 286,000