<t>HiI am quite new to VBA programming having mostly coded C++ and with Matlab and I need to be able to do some simple things with VBA.First question: How can I define a macro that runs every time a certain cell changes in a worksheet? I know that there exists these pre defined worksheet events and ...

<t>Hello TinManAs far as I know ICAP does not provide forward rates that should be used in individual caplet prices.First two colums in ICAP cap matrix are the ATM strike and its corresponding vol, but as far as I know they do not have anything to do with the strike structure. ATM strike for a cap i...

<t>Hello I am having some problems inverting the "correct" caplet (or forward forward volatilities as some call them) volatilities in EURO market. I try to describe what I am doing in more detail:1. I see the flat cap volatilities from ICAP in maturities 1Y,18M,2Y,3Y,...10Y,12Y,15Y,20Y and 30Y and s...

<t>HelloI am making pricing tools which could capture the current market information tick by tick. These m-files should be compiled to independent C++ libraries that can be run independently.I am using Reuters as a data provider but I have figured out that Matlab's own Reuter's datafeed is too ineff...

<t>Well take an example.I have an contract whose value depende on forward rates F_1, ..., F_10 at time 1 year. Procedure is that I simulate forwards and prcie the product normally. Now if I want to find the price sensitivity with respect to the first forward, I can alter its value by small amount, u...

<t>HelloDoes there exists any papers (or books) which deals with the practical risk number calculations within the Libor Market model (deltas, gammas, vegas etc)?I tried googling, but couldn't find any papers. Of course I know that it is possible to calculate risk numbers with respect to the underly...

<t>Hi HerdThanks for your reply, and for the reference. I quickly read it through, and it looked very promising, because it tries to handle the realistic market situations.I need to think about the calibration of my model from this perspective. Least squares optimization routines tend to be more com...

<t>The reason why I am simulating the 1 year forwards is that I have implemented the Cascade Calibration algorithm for LMM.Thus the calibration instruments are the ATM swaptions (which have the underlying paying annually, right?) with expiries 1,2,3,4,5,7 ans 10 years and the underlying swaps range ...

<t>HiI am implementing Libor model for pricing Exotic CMS products. The modeled forward rates have 1 year tenor, namely the forwards 1y1y, 2y1y, 3y1y,4y1y,...,19y1y. I am trying to estimate the correlation structure of these forward rates from history, to get some kind of estimate for the instantane...

anyone?

<t>Hi unkpathWell I mean calibration issues related to option derivatives which pay CMS rates. For example a note which pays annually (or semiannually) some spread of two CMS rates, say max(0,CMS10y-CMS2y-K).I just would like to know how to calibrate the libor-market model in cases when it is used t...

HiDoes anybody know any paper which deals with the problem of fitting different tenor CMS rates witin the libor-market modelapproach?That is the calibration of LMM to price CMS derivatives.

I read the article of Zhu, but isn't there a problem when handling CMS rates with different tenor?The model is modelling CMS rates with constant tenor. So how can it handle for example valuation of a product whose payoffconsists of for example a basket of different CMS rates?

<t>HiI have been working with the market models, especially LIBOR-market model and its implementation. My aim is to construct a pricing framework forexotic CMS options. The most natural pricing framework, which I have come across is the co-initial swap market model, which models the co-initial swap ...

Thank you very much for all of you. I am going to start from the Kennedy's book which has promising contents. Quite expensive book though it seems It is nice there are also some academic releases