<t>The risk is that you create an arbitrage condition if the spread is narrowed. The window has to be priced at least at the highest price of the range if the customer is buying base or at least the lowest price if the customer is selling base in order to avoid arbitrage.For example, let's say GBP/U...

<t>Delta tells you how much the price of the option changes with the price of the underlying. Not sure if it makes sense to talk about delta at maturity, but I suppose if St-K is positive then the call option has expired in-the-money and the value of the option moves 100% with the movement of St.If ...

<t>As default probabilities have many factors than the bond rating, there isn't a one-to-one mapping, but Moody's does publish data like "Average Cumulative Credit Loss Rates by Whole Letter Rating, 1982-2004" (just google that to find the doc). Those averages, however, may not be useful in this cur...