Could someone suggest me some materials on the the pricing/hedging/trading of the counterparty risks embedded in derivatives and structured products? It seems to me it is a very difficult area..

<t>I am a bit confused about the quantities that we run regression on...I have seen regression run on the differences P(t) - P(t-1) or logP(t), but also on % change P(t)/P(t-1) - 1 or log[P(t)/P(t-1)]In theory which one is better (under which circumstances as well)?if we do the former case, should w...

<t>Confused about the day count issues...Assume the spot date is Apr 1 and I have a 3x6 FRA.Hence the start date and end date before any adjustment are Jul 1 and Dec 1 respectively.If Jul 1 is Saturday, then should the dates be Jul 3 (assumed not a holiday) and Dec 1 (assumed not a holiday) OR Jul 3...

Oops... should post it in student forum...

<t>Confused about the day count issues...Assume the spot date is Apr 1 and I have a 3x6 FRA.Hence the start date and end date before any adjustment are Jul 1 and Dec 1 respectively.If Jul 1 is Saturday, then should the dates be Jul 3 (assumed not a holiday) and Dec 1 (assumed not a holiday) OR Jul 3...

<t>Thank you Stylz! But where could I find the paper by Lehman?Also, some more questions about yield curve building. This time it's for emerging markets (offshore)...I understand there are some instruments/quotes that can be used with USD curve, for example,forward points (NDF)NDS (non-deliverable s...

<t>I am really confused when building a yield curve with market convention taken into account...I was told before the first available eurodollar futures rate, we should use the "stub rate", what does that mean?Also the EDH7 contract settles on 3/21/2007 and as the underlying rate is 3m-LIBOR, the im...

<t>hi Marco!I guess I am doing the same thing as you are. Yet, is a complete set of caps available in the market so that you can get the volatility of every underlying caplet?The data I have now are like ATM caps with maturities 1y, 2y, 3y, 4y, 5y, 7y and 10y with semi-annual reset...Really have no ...

<t>Hi all,I have got the black volatilities for 1y, 2y, 3y, 5y, 7y and 10y caps and would like to use them to calibrate the LIBOR market model. Yet, how should I extract the caplet volatilities from the caps as they are semi-annually reset? Is interpolation a must? Which interpolation method is the ...

<t>Sorry for replying late... as there are many other things to tackle...Now I've got the weekly Eurodollar futures quotes, implying I could get the forward rates. I carried out principal components analysis after catergorizing the rates according to their accrual periods (like the one described in ...

<t>Hi everyone,I am a newbie to interest rate models and I have tonnes of questions in this area. Hope you guys can lend a hand to me My first question (to this forum) is about calibrating the LIBOR market model. The data I have now are1) Daily swap rates of maturities 0.5 years (spot LIBOR indeed),...