<t>Intuitively I would say the strike of a swap is the average of forward rates. And since the EUR swap rate is 6% and the USD swap rate is 5%, there can (might) be a point in time where the EUR forward is higher than the USD, thus the spread can be negative, assuming the +bps in the USD is neglible...

Hey Nuke Bugger, Buzz off with that missle under your azz!

Homework Yeh? ha ha, haven't had that in ages. Consider this, a multi-callable spread/basket range arrcual fixing in arrears with cancellable feature and a huge correl risk, how would you do a vega (gamma) trade to hedge your risk. You look kinda familiar, Oh, yes I remember.............

<t> Hi,I get your point, thanks. I have built a EWMA model to capture correlation of IRS strikes of different tenors. For example KRO 5yr - 3yr correl is around say 95%. I am interested in your point of forward correlation, can you please explain how that makes sense? and what is the skew risk aspec...

<t>Hi,Lets say I am trading a spread range swap against a CMS 5 yr and 3 yr which is currently trading at 78% correlation. My question is if the correlation increases to 79% why is it that my PnL is impacted. Where in the pricing equation is the correlation? Say I am short on this spread. Hence, if ...

Hi,what is Swaption Skew, and what is the risk in Skew? How can it be measured and hedged? Cheers

Hi,Assume a portfolio with:1. Few Cap Floors2. Bermudan Swaptions3. Spread/Basket Range Accruals4. Rachet OptionsHow is the daily PnL computed?Cheers

Cheers.