<t>Some time back I did some work looking at getting a reasonable value for beta using historical swap rates. I found that beta was very different for different maturities, but I also found that it was different (substantially) when the period over which the maturities are analysed was increased fro...

In relation to the sabr model, I have heard people say that 'alpha' is the volatility - how is this so? To me it is a model parameter we can find by calibration?

Can we list the papers which should be read by somone who needs to hedge a barrier option (knock - in option) in the rates world?

Hi,MRonwise, what do you mean by 'MJ's Book? Which book is that?Thanks

<t>Hi,Are there any textbooks (useful ones!) which speak about the practical side of pricing exotics? From the point of view of teaching one's self about pricing barrier options/spread options/cms etc all from the point of view of rates and fx(i.e. I don't have an interest in stocks/commodities etc)...

<r>Dumb question on my behalf ... I knew the answer (it was in there somewhere!). Thanks for the comments - will read that paper by Collector.Also, Martinghoul says:'Best thing to do is to try to think of the distribution of the underlying and what it implies. 'Can you ellucidate on this? I know the...

<t>Hi,In the vol market, if you are doing a 5y7y (i.e. a 5 year option which expires into a 7y swap) receiver and payer swaption, you have a vol trade. It is struck at the money forward (i.e. using the swap rate for a trade which starts in 5 years and lasts for 7 years). You also pick up some delta ...

Hi,What is a cap/floor straddle in relation to interest rates ? i.e. a 5 Year cap.floor straddle priced at 20% for GBP rates. Thanks.

Hi,What is a cap/floor straddle in relation to interest rates ? i.e. a 5 Year cap.floor straddle priced at 20% for GBP rates. Thanks.

Hi,Why would there be a different volatility surface used for caps and swaptions?Thanks.

10bp. Fair point, well made! Thanks.

Hi all,If the 3v10s 1y fwd steepener is at +13bp and the 3v10s 9m fwd steepener at +23bp, this is described as being positive roll. Can you pls explain?Thanks.

Thanks Collector. I will if I can find a good library! I found the 1st paper very interesting - written with the real world in mind.

<t>Hi all,Having read the excellent 'Know your Weapon', Part I by Haug (aka Collector I gather from his comments in other parts of this site) I would like to read parts II and III. Where can I get these? I don't want to have to sign up for the Wilmott magazine (sorry Paul! - I'm not a quant...) to g...

<t>Hi all,I am working on a fixed income desk and need to analysis our inhouse portfolio of trades on a daily basis in terms of the greeks - a portfolio consisting of swaptions, swaps, bonds etc. Is there any text book written specifically for dealing with how to think about these type of portfolio'...