Thanks Stas. I believe that is what everyone is doing.

Hi stas,pretty old thread but do you have something on algebraic relationship between the three parameters (i.e. OIS rate, swap rate and FF/LIBOR basis swap) now? I would appreciate if you can share that with me.Thanks.

Hi,Please find attached document which has in detail discussion on different basis swaps.

Any idea how we deal with negative interest rates in FX Option pricing. I am talking about vanna volga pricing of a Up&In one touch option. Any research paper which discusses this?Thanks.

Any idea how we deal with negative interest rates in FX Option pricing. I am talking about vanna volga pricing of a Up&In one touch option. Any research paper which discusses this?Thanks.

<t>Hi,Any idea if we do some kind of adjustment for different currency pairs when calculating vanna volga (VV) price. I am following one standard VV approach and comparing the price to bloomberg. For some currency pairs its really close to bloomberg values but for some other pairs its off.Any help i...

<t>Hi,I am using Vanna Volga to price a one touch option for different currency pairs. I am calculating theoretical value first (Black Scholes) using formula from Wystup/Castagna book, which is pretty standard. Theoretical value is exactly matching with the bloomberg values.When it comes to the over...

<t>1. take two uniformly distributed random variables: u[0,1] and v[0,1]2. Norminv(u), Norminv(v)3. change the linear correlation 'rho' to rank correlation = 2*sin(pi*rho/6) because rank correlation is invariant to transformation4. using cholesky decomposition produce correlated normal random variab...

Attached is a matlab program which produces correlated uniform random variables. comments??

<t>How can it be 2n-4? Suppose there are just 2 ladies (n=2), then it will take only one call and each of them will know everything...but for n=2 (2n-4 =0) i.e. # of calls will be zero. Am I missing something here?QuoteOriginally posted by: wileyswthis is also discussed here before: here and herei d...

We generate discount curve using money market rate, Euro dollar futures and swap rates. Is the generated discount curve arbitrage free? If not, how to make it arbitrage free?