And with the exception of early swedish TIPS

<t>The prefix 'quasi' can in fact be used without giving any linguistic qualification in addition to the concept it is used in conjunction with. This property is shared with other prefixes like 'pseudo' and 'semi'. In fact, the concepts 'quasi-convex', 'pseudo-convex' and 'semi-convex' are all used ...

<t>QuoteOriginally posted by: nerosCan anyone give references to how CMS caps/floors are priced in a Black76 model (with convexity and timing adjustment). Also any references as to how this model performs compared to a Stochastic Vol. model is appreciated.Hulls book has necessary details. I hope you...

The NR simplex solver is crap compared to commercially available LP-solvers. The COIN-OR Projects site has an up-to-date implementation available. You could also try out the GNU Linear Programming Kit

QuoteOriginally posted by: cfornarolaIn Bloomberg: YRCV <go> and you can browse for the curves you need.Should read YCRV <go>. The logic is probably that it should be an acronym for Yield Curve Relative Value ....

SDE-based models are looking forward (calibrated to implieds), time series models are looking backward (driving forward by looking backwards in a mirror)

<t>There are several act/act conventions, so you need to be more specific, and this is also the cause of your problems. In bondland, act/act calculations are carried out according to ISMA rule 251, whereas in swapland the ISDA convention is commonly used. The attached ISDA memo will explain the diff...

The book by Miron and Swannell would be a suitable starting point for pricing swaps

<t>Try the attached paper. If you are looking for implementations, there are several packages that deal with simple bounds on variables. Any kind of structure that can be imposed on your constraint will tend to simplify the problem, e.g. (strictly) convex constraint functions, linear constraints, si...

<t>The currency basis reflects counterparty risk rather than currency risk, namely the credit quality of the banks quoting LIBOR. Currency basis has historically been high for Dollar-Yen basis swaps (or Dollar-Norwegian Krone basis swaps for that matter), reflecting the superior credit quality of ba...

<t>QuoteOriginally posted by: crowlogicI have Johansen's cointegrated likelihood inference book.. that guy is just nuts.. a genius though, but the math is just over the top.Johansens book focuses on theoretical aspects of cointegration (his background is mathematical statistics, not economics). He h...

<t>For exotic deals, several models may be necessary in order to judge model risk elements.For European style options, the "model" is essentially the volatility parameter corresponding to expiry and tenor (and possibly e.g. a stoch vol model on top of that, but this still needs sensible volatility i...

<t>Your request is slightly underspecified:Which currency ?Which type of curve ? (swap, govies, etc.)Better ask for quotes on underlying instruments, e.g. deposits, futures (or FRAs), swaps etc. and construct the curve yourself. Your application may dictate which spot rates are necessary. If you rea...

<t>Newton-Raphson is potentially hazardeous, because the current iterate may drift off toward infinity if the current iterate hits an interval where the first derivative vanishes. This may not be the case in the interval where you expect to find the implied vol, but if you aren't controlling upper a...

<t>Linear interpolation in strike dimension will make your sensitivities go awry, so at least you should aim for sufficient level of differentiability. However, the next issue on your agenda will be extrapolation, and your choice of favorite splining method for interpolation wont be particularly hel...