possible to let us know which 2 currencies these are ? thanks

quick q: if higher order than quadratic regressions are used, would the accuracy gap between eq (5) and (6) be narrowed? thanks

<t>I recently downloaded OpenGamma source code. As a quick check: I search for the string "Rebonato" in the source code. Nothing came up. Maybe I need to have commercial version?I would think that, a model library with decent rates model and decent documentation would have Rebonato in source code / ...

<t>say it's 20 out of 20 soft call, meaning the stock price has to be higher than trigger for the previous 20 consecutive days, how about the following:on the tree (binomial, trinomial, etc.) node, if stock price >= trigger, compute the probability p that it has been so for the past 20 days --- usin...

<t>Usually the put-call parity is the pv of a forward contract. In the case of your 2y2y swaption, that is a forward starting swap with fixed rate being the strike. The pv of that can be shown as forwardStartingAnnuity*(mktFwdRate2y2y - strike), which can be computed using today's mkt rate curve (an...

<t>Thanks for the explanation of what "doubly stochastic" means.On the one hand, I agree that, to make my argument rigorous one probably has to define the limit a bit more carefully (although, I did mean: taking large n limit first, THEN sweeping m; I didn't mean doing these two things simultaneousl...

<t>Could you explain what you mean by "doubly stochastic"? I was about to give the following argument for why the answer is 1/13 (my argument might simply be a longer version of what you meant in your most recent post ):By the standard CLT argument, Zn=(Yn-n*mu)/(sqrt{n}*sigma) (where mu=7/2 and sig...