<t>Question 1:You have to ask yourself (or your trader or broker) under which conditions the swap rates are quoted. If the swap rates are calculated under OIS discounting (ie. assuming a cash CSA), you must bootstrap your projection under OIS discounting to get the providers view on the future fixin...

HiDid you come over any good references?I am interested in the same issue.More specifically in the context of determining a suitable (time varying) calibration sample of caps and swaptions for interest rate models.Christian

<t>Thanks for your input. I'll look into some of the concepts.QuoteOriginally posted by: samyonezif you want a "margin" variable to exist outside the function, you have to declare it outside the function (public or private as you wish), in which case you don't need to pass it as an argument to the p...

<t>HiI'm setting up a function in VBA.The problem is that I would like to make some of the variables, that my function takes as inputs, public.Eg. in the functionFunction Price(TTM as double, margin as double)I would like to use the variable margin in another module.I have tried "Function Price(TTM ...

<t>HiI'm doing some model selection in PCGets.In the output I get the following warning:"*** Warning: OLS - W'W is singular."I have narrowed the problem down to dummy variables:If I either include my own dummies or let PcGets identify dummies, I get the warning.(And I have checked that the dummies a...

Is there another way to reduce the number of factors/computation time when using the very long jump procedure?

<t>Carol Alexander describes the procedure of backing out the caplet volatilities from the quoted flat volatilities in her articel "Common Correlation Structures for Calibrating the LIBOR Model" (Available at SSRN)It should give you the example you are looking for, and discusses the volatility/varia...

<t>HiI'm implementing Joshi and Rebonatos Displaced diffusion, stochastic volatility LIBOR market model.As I'm pricing ratchet caps, I'm using the "very long jump procedure" i.e. evolving all the forward rates to their reset date in one jump using the total terminal covariance matrix (TOTC)The TOTC ...

Yes. Using the displaced diffusion Black Scholes formula.

<r>I'm doing an implementation of Joshi and Rebonatos Stochastic volatility BGM model (Joshi and Rebonato, 2001, A displaced-diffusion extension of the LIBOR market model)The basic idea of the model is that volatility is made stochastic by letting the coefficients (a, b, c and d) in the volatility f...

HiI'm doing some preliminary investigations of interest rate cap volatilities for my thesis.I have recieved Reuters qoutes for a history of caps and now I need some guidanceIs the column STK the strike corresponding to the ATM quote?How is the ATM strike calculated?ThanksChristian

HiI'm doing some preliminary investigations of cap volatilities for my thesis.I have recieved Reuters qoutes for a history of caps and now I need some guidanceIs the column STK the strike corresponding to the ATM quote?How is the ATM strike calculated?ThanksChristian