<t>Hi,I am using vanna-volga method to generate volatility smile given 25 delta STR, 25 delta RR and ATMF. But some markets like GBP also quotes 10 delta points which usually do not lie on the generated smile. How do we interpolate between 10 delta and 25 delta and beyond 10 delta points while being...

Can somebody provide me with EUR/USD FX Option Vol data ...I desperately need this..it need not be the current data.Thanks in advancepaladin

Can somebody provide me with EUR/USD FX Option Vol data ...I desperately need this..it need not be the current data.Thanks in advancepaladin

I think that for IR side u can refer Brigo Mercurio or MYron Swannell .

Arent Fra option like a caplet

Dear Aaron,Shouldn't the interpolation be applied on variance rather than vols.

http://www.hfb.de/Dateien/CPQF_Arbeits2.pdfchk this ..would be pretty useful..

Can Somebody suggest some good reading material on quanto swaps.

<t>See i think its like this say i want to buy 1m calls at strike 1.14 EUR/USDimplicitly this would mean as if I would be buying 1m EUR at 1m * 1.14 USD and the premium that i would pay would pay would be in USD. (this is for FX option)Say now i want to buy a 1m outright forward , in this case u hav...

Can somebody share the below mentioned paper:Ikeda, M., and N. Kuintomo (1992): \Pricing Options with Curved Bound-aries," Mathematical Finance, 2, 275{298.Thanks in advance

<t>as far as convexity is concerned..yes you have to take care of that using DOUST's formula (as given in PAT's paper) and for the timing adjustment you can do by CF* df(benchmark )/df(CF date of the coupon) ...but i think other forum mates can throw more light on it..... ...i think your a/b is wron...

see the spread as such can be added on any side....its just that if its coming MYR positive margin than the same when translated to USD margin would be negative..An to ur second question for both the case the treatment of spread is same....i think johnself might like to add something to it..

<t>I think that one can peacefully calibrate the HW model to the cap surface but then simultaneously calibrating to both caps & swaptions might not be a good idea.. As a matter of fact the HW calibration can be done on the deal basis separately giving the parameters & less error ..you can re...

<t>I think that one can peacefully calibrate the HW model to the cap surface but then simultaneously calibrating to both caps & swaptions might not be a good idea.. As a matter of fact the HW calibration can be done on the deal basis separately giving the parameters & less error ..you can re...

I want to add colour to the cell based on the value for eg. red for all the cells that contain 1 in the worksheet.can somebody help on this..thanks in advance