My guess is, such distribution does not exist.

<t>1) The premium should be amortised according to the option-type. Theres should be explicit guidelines for that. For instance, suppose you have an interest rate swap. Then the Upfront should probably be amortised (if you hedge say a fixed-interest bond with this swap, then you would amortise the p...

<t>There is no such a thing as a 'correct' approach, it depends an your goals. However, consider the following points:a1. If there is a drift in the data, then you should try first to clear our this drift, otherwise you would model the 10-day return with a wrong mean when you compute the 1-days VaR ...

Thanks!

<t>Thanks for all your comments, very helpfull. It's about IAS39. The regression methods and also the dollar offset method work in my case very well. The problem is that the IAS39 has also the requirement for 'prospective test', and the above methods work only 'retrospectively'. In addition to that,...

<t>Thanks for your reply. Indeed there is this duration mismatch (due to the different margins) and the resulting duration of the swapped transaction is not zero. In some cases the effect of the mismatch is very large, i.e. the ratio between the duration of the swapped transaction and the transactio...

<t>Hello Forum, Bank A has a given loan with fixed interest rates and hedges the interest risk by entering a corresponding swap (A pays fixed gets floating) with another bank B. The receiver of the loan, bank A and bank B have all different creit ratings etc., and the loan, the fixed side of the swa...

Thnaks for the interesting discussion. I still cannot believe that there is no standard on the market how to quote the present value in say EUR of a fixed cashflow in say CHF!

I cannot believe that there is no market convention on such a simple question like how to find the present value in currency 1 of a future cashflow in currency 2....

Thanks for the answer. If I understand you correctly, the approach 2 for getting present value in EUR of a future cashflow in another currency I have described below is the correct one, provided I use the correct discount curves, including the information for SN / ON rates.

Thanks for the reply. Personally I have never heard of discounting factors for today different than 1. I use the same discount factors for various other applications. What discount factors are appropriate and typically used in practice?

I think you are right about the terminology t/n o/n. I guess you are right about the arbitrage. I am still wondering about the present value calculations, please help.

<t>Thanks. You say that the rate of 1.8 already includes the information about the different overnight rates say of the EUR and CHF, so no arbittrage. I wonder if the others on this forum would agree with that. I still wonder also what the the correct approach to get the present value in EUR of X CH...

Thnaks for your comments. In this example: I do a deal today, £100 against $180, to be settled in 2 days. Then I put my £100 in an overnight account, get £100.02 and thus a .02 arbitrage?

<t>Thank you for your reply. I am still not sure what to do. Suppose I need the present value in Euro of a cashflow in USD as of today -- booking day (BD). The cashflow will be payed say one month later -- forward contract date (FD). 1. The Spot-FX on BD can be applied to deals which will be settled...