<t>I am looking for a way to price this:The security is a 2-year note that pays annual fixed rate coupons and par at maturity.On the same date every month, the fixing of a currency pair (e.g., USD/CHF) is observed, say X1. This is used to set the "band", e.g. X1 +/- 0.2000 for the next fixing X2, wh...

I meant double no-touch, not double knock-out

<t>I am looking for a way to price this:The security is a 2-year note that pays annual coupon coupon at a fixed rate, and par at maturity.On the same date every month, the fixing of a currency pair (e.g., USD/CHF) is observed, say X1. This is used to set the "band", e.g. X1 +/- 0.2000 for the next f...

<t>From personal experience, aside from the consideration that daveangel has mentioned, it is also not easy to "take profit" especially of the underlying price has moved quite a bit since the trade. Far in/out-of-the-money options are a real pain to get prices for, except in the most liquid markets ...

<t>The way I understand it, the set of MBS is a subset of the set of CDOs. The difference is in the underlying asset. Mortgage loans necessarily form the underlying for MBS, whereas the underlying for a CDO can be almost any form of asset (mortgage loans, corporate loans, credit card loans, student ...

<t> amit7ul, you do not get the 1-year swap rate from the 12-month Libor. You get it from the 3-month Libor and the series of forward rates implied from Eurodollar futures or 3-month Libor FRAs (3x6, 6x9 & 9x12). kangsooman, you got it. Even aside from Martinghoul's claim that Libor fixings are ...

<t>As Marmalade has said, you have to start with an assumed 3-year df, adopt an arbitrary interpolation scheme of some sort to work out the df at 0.5, 1, 1.5, 2, 2.5 from the 3-year df, compute the NPV of the swap, then use some kind of "goal seek" or "solver" to arrive at zero value for the swap. G...

There are T-Bill futures? This is new to me. At which exchange (CBOT, CME, etc) are these traded?

<t>I've often come across terms like "PCA weighted" or "PCA neutral" interest rate swap butterflies. How does one work out the notional amounts (or durations) for this kind of structure? I suppose one has to do a PCA on the daily changes in swap rates, to obtain eigenvectors, eigenvalues, principal ...