hmm, the forward mesure I would say.

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well I have not the access neitherwhat else can I do??

i dont have acces to icap on bloomberg where can i get them elsewhere?

i dont have acces to icap

HiDo you know where I can get the swap spreads of CMS on Bloomberg? Or Reuters.... Thx

Let 1 be the indicatrice functionLet x be a real number>0It the following formula true: x=int(1{x>y}dy,y=0..infinity)where int denotes the integrale.

<t>I am trying to price CMS swap using Hagan's paper : "convexity Conundrums ...."I think it woks quite well for me, because I can fit the price given by the pricer of Bloomberg. However, I still have some additionnal questions, especially on the calibration of some parameters. my question concerns ...

<t>To get the real value of the forward swap rate y, we have to do a convexity adjustementIn the Hull, there is a topic about convexity adujstement. According to the Hull, the convexity adjustment is equal to: -y*ti*F*sig(y)*rho*sig(F)*T/(1+F*ti)with.y the value of the forward swap rateF the forward...

<t>I would like to compute the price of a Digital option on the spread of CMSLet X and Y be two CMS rateLet K be a strike We have the payoff: E(1{X-Y-K>0})can I say that: E(1{X-Y-K>0})=B(0,T)*Proba(X-Y-K>0)=B(0,T)*Proba(X-Z>0)=B(0,T)*Int(Proba(X>x,dx=0..infinity) ?? where Int the the integraleand 1{...

<t>Okmore precisely here is my pb: F1 and F2 are in fact CMS swap rates.Say F1 is the CMS30Y and F2 is the CMS2Y.1) If I understand well, if T is ten year, F1(T) must be the CMS30Y that starts is ten years.2) Now, what is Call(F1(T),x1 - 1pb,Sig1,T) ?? To me, this call on F1(T) is a Caplet, which ma...

<t>I have a question on the berrahoui's paper.Let's consider two Forward rate F1,F2 We want to price the option: Max(F1(T)-F2(T)-K,0) where K is a strike and the maturity T of the option. In this paper, it is said that we can calculate the value of this option if we can calculate the value of Proba(...

I have a simple questionsuppose S is a process that follow a lognormal distribution of mean 0 and volatilite sigthen, does S follow this equadiff: dS/S=sigma*dW ??? thank you

How did you arrive at this conclusion?>>I didnt: But some specialists did. For some theoritical reasons: The sabr model is derived from small perturbations. So it only works for shot maturities, with strike close from the forward.

<t>I need some clarification on this subjectIs it necessary to have convexity adjustment for the swap "in arrears" ? Is it necessary to have a convexity adjustement for the swap "in advance"? In the Hagan's paper, it is said that we need conv adj for both set in advance and set in arrears swapwherea...