thank you raags

<t>Hello,I would like to know what conventions (maturities, frequencies, spread quotation, day basis...) are used for Libor vs OIS basis swaps in EUR and US markets?I found following information on Libor/FF basis swaps but am not sure whether they apply to OIS case:- 3M Libor paid quarterly- versus ...

Thank you DavidJN !The first formula P = (cp1 + cp2 + ... + N) / (1+y*tn) is actually used as a way to quote YTM for Japanese Governement Bonds. This is the only usage I am aware of.

<t>Hello,I found out those four formulas to quote bond YTMs. Do you know which formula is applied in which case? Apparently it depend on local market conventions and time to expiry...- simpleP = cp1 / (1+y*t1) + cp2 / (1+y*t2) + ... + N / (1+y*tn)- compoundP = cp1 / (1+y)^t1 + cp2 / (1+y)^t2 + ... +...

Is there a general definition of Macaulay duration / Modified Duration that applies to any fixed income instrument?Usual definitions refer to bond or bond futures, but portfolio managers also seem to refer to Duration and Contribution to Duration of Swaps, Futures, Bond options, swaptions...

<r>Most inflation-linked bonds follow the notional adjustment rule that you specified.Here are a few exceptions:- Brazilian NTN-B and NTN-C coupons depend on both historical CPIs (until t - 1 month) and forecast CPIs (for current month)Check out <URL url="http://www.andima.com.br/merc_sec/arqs/gover...

Error Code: 109 is back

This is simply the Distribution of P&L over a n-day horizon.

What does the Callable feature exactly means in a Callable MBS ?At first I thought it was similar to an Issuer Call as for a bond or CB. But as the issuer may prepay at any date, Prepayment and Call seem redundant...

Hi everyone,is it common to trade swaptions on a standard (SNAC/STEC) CDS?Previously the swaption gave the right to enter the swap at the strike level, but now the rate may only be 100bp or 500bp while upfronts are exchanged.So what is the new payoff supposed to be ?thanks

Cash Settlement Swaption pays(Swap Rate - Strike) * PV01where PV01 = sum ( dt(i) /(1+ (Swap Rate) /m)^m)The sum runs over all coupon dates of the swap, m is the frequency and dt(i) the coupon tenor

Hello,what are the exact definition of PV01, DV01 and the difference between both ?

Thanks for the advice, Black and SABR are indeed the most currently used. Perhaps will we also try H&W.

Hi,where can I find termsheets or research papers about average interest rate caps?They are options on the average of LIBORS, I am particularly interested in knowing the conventions to pick up the fixing dates (once per day, per week...)

Hello,is there any recommended model to price American-style options on Interest Rate Futures?Thanks for the help,Quentin