Good call.

Gents,Today my intern asked me for paper explaining Greeks 101 in Fixed Income products. I find this question very generic and don't what to throw him a big text book. Can anyone reference a Greek 101 paper for my intern to read?Cheers,Lar

as title. what bloomberg page do you open? Except for getting some historical data, I personally only open the news and message.

<t>Maybe I am very wrong. At least one of my friends agree with my view point. I was in a project to find out the optional structure of a butterfly. My goal is to make gamma and vega neutral, and find the optimal weight of the three options. It sounds pretty easy and I can successfully find the opti...

<t>Hi there,I am working in the fixed income derivatives field and they way we model smile is using these parameters: Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right. We have some internal slides talking about what these parameters are, but I would like to r...

<t>Thank you for both of your responses. I understand the greeks, I was just wondering whether I can derive the B/S formula to calculate the derivatives of the vol and rate. I got some insight from my other question about how to do the derivatives from the B/S formula. Thus case resolved. But still ...

Ahhaaa~Now I understandThanks a lot for your kind help!!! To you all.

<t>QuoteOriginally posted by: cemilQuoteOriginally posted by: larsh0303QuoteOriginally posted by: cemilQuoteOriginally posted by: larsh0303QuoteOriginally posted by: cemilCalculate dC/d vol and dP/d vol and you can see it is the same formulae. So, this proof is enough, isnt it? Yeah, it probably is....

<t>QuoteOriginally posted by: cemilQuoteOriginally posted by: larsh0303QuoteOriginally posted by: cemilCalculate dC/d vol and dP/d vol and you can see it is the same formulae. So, this proof is enough, isnt it? Yeah, it probably is. I guess the question is how to derive dC/d vol. Maybe I should post...

QuoteOriginally posted by: cemilCalculate dC/d vol and dP/d vol and you can see it is the same formulae. So, this proof is enough, isnt it? Yeah, it probably is. I guess the question is how to derive dC/d vol. Maybe I should post this to Kindergarten forum, haha.

<t>Hi there,I understand I can sum up the delta of bonds; it is rather easy to be done in bond algebra. Can I do the same thing in bond options? I would assume I can since we are doing it in our spreadsheets already. But how do I prove it? In addition, can I sum up vega? I want to say I can since it...

<t>Hi there,I just realized that in the Black Scholes world, Call and Put options have the same vega, and there's a close form solution of it. I don't know how to prove it in algebra. I tried to use chain rule to drive the sigma inside d1, but I failed because I don't have a close form of N function...

<t>Dear All,I tried to use Matlab to run an interpolation. I use interp1 to run it and get the following error message:The values of X should be distinctWhat did I do wrong???The following is my command:interp1(Dist(:,3),Dist(:,1),100)And the following link has the contents of variable Dist: Thanks ...

Thanks Collector. You answered me right on the spot, and the story is entertaining too

I always remember that the kurtosis of normal is 3. So I looked up google. Interestingly wikipedia tells me that it is 0!!see: http://en.wikipedia.org/wiki/Normal_distributionI guess it is a little bit confusing.