<t>First, the relationship you are starting with below is for a simple forward rate, not a forward swap rate. It is generally not true that a 5y swap rate and 5y5y swap rate will directly give you a 10y swap rate. A swap rate is a yield, not a simple rate.Second, what makes you think that the forwar...

<t>Why do you say that the T1 forward measure is only defined up to time T1? You are using a T1-maturity bond as the numeraire. I think the maturity of the bond is irrelevant here as we don't assume that time stops after the life of the numeraire ends. Think of a deferred payoff. You would use the T...

<t>1) No. In fact it is more common to set to 3mL, but can set to whatever the conterparties agree upon.2) Conceptually, I suppose so. But EONIA is akin to overnight LIBOR, whereas OIS swaps are based on fed funds3) Don't really understand the question. Start dates and tenors are whatever you want t...

Gmike, I like that.

I think you are meshing together two separate concepts. Bootstrapping is done to find a finite number of points on the curve. The cubic spline is used to interpolate all the points in between.

If you want to study this from the PDE perspective, take a look at "Derivative Securities and Difference Methods" by Zhu. It is a pure PDE book and fairly well written.

Isn't M(t) a constant on this interval? You are finding the max of the expression for all values of s < t , but then integrating from t to infinity. Thus, the max has already been determined on the interval 0 < s < t.

<t>My thoughts exactly.....at least for the first half of the book. We used the first part in a PDE course this past spring, and the second part will be used for the Num. Methods class. I enjoyed the book, and actually took the class from one of the authors. My main question is whether or not the me...

Out of 131,000 people that have viewed this thread, not one has read the book?

QuoteOriginally posted by: AKYfirst 2 are:N = 25,201 and 52,921followed by.....80641,108361,136081,etc.....There are a ton of them. 16 where N<1,000,000.

Why would you have vega and theta, and not have the price?

I second that. The answer to your question takes up about 500 pages in that book.

http://research.stlouisfed.org/wp/1994/94-015.pdf

First....

So.....has anyone read this book?