<t>Use CDS or bond spreads to adjust your projection curves and then adjust your OIS for discounting.Yes, this would imply the use of a different curve for each counterparty. It might not be a practical solution but it would be the most correct method of adjusting valuations based on your counterpar...

<t>I am no expert on the topic but from what I have read if the CSA is only for EUR then only EUR can be given as collateral and EONIA is paid to the counterparty on the EUR collateral. If the agreement allows for cash and govenment bonds then the counterparty can post bonds instead of cash.If the C...

<t>Again, in an attempt to summarise everyting would this be a fair assessment?I pay 3mth LIBOR vs receiving fixed swap with a counterparty with a CSA...I use my 3mth basis curves to for project the float side of the swap. The two cash flow streams are then discounted using OIS. The inception value ...

<t>Thanks.Just a question(s) relating to the CDS spread...if you add the spread to the OIS curve is it a straight addition on to your OIS curve? Would you need to interpolate the CDS curve to fit your OIS curve points? And what happens if your maturity of the swap is greater than the liquid CDS mark...

<t>Hi,Arrrggghh, I just did up a long detailed post but it didn't post and I lost it all so I am going to try summarise it more briefly as I don't want to have to type it all up again!!Anyway...trying to summarise previous posts...say I had a 6MTH USD Swap...I would use a 6MTH Basis Curve to 'estima...

Thanks.

<t>Thanks MCarreira but I am okay on the valuation part of the NDF it is more a case of how one would should represent the mtm/NPV...is it more correct to view the NPV in the seperate currencies, i.e., PVrec - PVpay or a combined NPV in terms of the deliverable currency? So...For example, should a U...

<t>Thanks for your responses.If we assume that the curves are calibrate and interpolated correctly (a big assumption maybe) how should the PV of the trade be caputured? Should the mtm of the NDF be in the settlement currency througout the life of the trade or should the two legs be valued/marked to ...

<t>Hi All,If it can be assumed that the NPV of a forward is the PVrec/BaseCCY - PVpay/BaseCCY then the NPV is a combination of the long and short position. However, I was wondering with respect to a NPF only one side of the trade is deliverable, so how is the trade to be market-to-market on a daily ...

<t>Did you run ARCH test on the 3 months data to check for the presence of heteroskedasticity? If the test shows no heteroskedasticity then that would point to the inadequacy of using a GARCH model and an ARMA model would be more appropriate.I think by the fact the you now have 5 months of observeat...

<t>You should first difference your data, i.e., the closing prices, to get the log returns of the data to make them startionary and then your GARCH model coefficients are likely to be more meaningful.I have used MATLAB to estimate GARCH models previously and have found it to be quiet straight forwar...

<t>You should first difference your data, i.e., the closing prices, to get the log returns of the data to make them startionary and then your GARCH model coefficients are likely to be more meaningful.I have used MATLAB to estimate GARCH models previously and have found it to be quiet straight forwar...

<r>I did a GARCH research thesis for my Masters last year and I used mainly Matlab Econonometrics toolbox. Though I did not use it there is a free USCD GARCH toolbox available on the Internet by Kevin Shepard. If you use that I think you also need the Econometric toolbox by James LaSage, also free.I...

<t>Hi,I was wondering if anybody has a copy of the following articles? My university access only goes back as far as 1995.Bollerslev, T (1986) Generalized autoregressive conditional heteroskedasticity. Journal of EconometricsCai, J (1994) A Markov model of unconditional variance in ARCH. Journal of ...

<t>Hi,I am currently undertaking my Masters dissertation, the topic of which is releated to Markov Switching GARCH models.I would like to define structural breaks endogenously within the time series and then estimate the GARCH models for the differing regimes. I am looking to use the Iterative Cumul...