Thankyou for the replies. This was helpful

Thank you for the reply.We are using HW 1F. Can you help me with the bloomberg page that has teh mean reversion?Thanks, Adnan

<t>Hi,We are trying to implement the PFE / CVA model. The system model requires an input for USD mean reversion.Can anybody give an idea of the ballpark number that I should use for USD mean reversion?I have a model from my coleague that is generating mean reversion of USD short term rates of approx...

<t>You are correct. It is roll down.But I assumed that roll down should be smooth. Lets say if today's roll down is 70,000, then tomorrows roll down should not be 10,000.The fact that our roll down is not smooth, I would imagine it has to do with the forward curveThts why i wanted to know if this is...

<t>I manage a Vanilla Interest rate swap portfolio. The rate curves are interpolated using Monotone convex interpolation. We use Murex to book our deals and manage risk.Most of the DV01 (PVBP) risk in the book is hedged and we have a small net DV01 of approx USD 10k. I check P&L variance report ...

<t>In an FX swap - your position is only on the forward points and not spot. Net FX position = 0 as your long USD ( near leg) and short USD ( far leg)The MTM of this transaction should only be the diffrence between traded swap points and prevailing.You have traded at +0.03 (short) forward points her...

<t>The difference should not be much either you use the price vols or the rates vols... Are you sure you are calculating the SD for % change while calculating rates vols. Just to confirm... if the rate was 18% in the last quarter and is 18.20% now, the percentage change would be (18.20 - 18.00)/18.0...

Attached is the excel file with the required formulae...

<r>Check the "Classification section" <URL url="http://en.wikipedia.org/wiki/Partial_differential_equationAlso"><LINK_TEXT text="http://en.wikipedia.org/wiki/Partial_di ... uationAlso">http://en.wikipedia.org/wiki/Partial_differential_equationAlso</LINK_TEXT></URL>, for some solution methods...<URL ...

Depends obviously what you want to do? In very general terms Corporate finance can lead to a career in Invesment banking,etc.. while derivatives pricing or quant is a very different career.Are you doing your bachelors??

Thanks irvingy...

<t>What spot rate is used to convert notional amounts while calculating FX Option Premium?For Example,If I buy a USD Put/ JPY Call, X= 120.00 , Expiry 3 months , Notional JPY 500 mio.The Spot reference rate used for pricing was 116.00 and delta was also exchanged at that spot rate.Lets say, the prem...

Dear Zaman,Please check your PM. I cant attach the resume here. If you can please send me your email address, I can send you my resume. Thanks,

Thanks Jaiman for the advice. I think I am okay with routing my job thru another department if this is the case. I will definitely have a look at the CSI courses...

<t>Thanks for the replyTextile Engg was not highly mathematical, though I have taken courses in calculus and statistics during my engineering and MBA. I have also attended various derivatives training workshops, and am able to run Monte carlo and bionomial tree simulations for pricings, etc. I under...