<r>I am trader, actually buyer,we need some financial products as follow:Double Barrier Option on FX (USD/JPY)Euro CMS spread accrual swapEuro CMS spread accrual swaptionlet us talk about prices and conditions by MSN.my MSN, <EMAIL email="functionalanalysis@hotmail.comThanks">functionalanalysis@hotm...

Call opton: payoff= max( Euro CMS 10Y- CMS2Y-K, 0) K=- 0.10% Maturity= 3Mwhere can i find the market quotes ?I need these quotes to drive the implied distribution density function.many thanks

<t> 5 years contract, and settlement every 3 monthsParty A pays: 1 million USD *USDJPY-Rate Here USDJPY-Rate=95 So,Party A pays 95 million JPYParty B pays: by USD 1 million* FactorFactor: 1) In Year 1, Factor=100% 2) Thereafter: Factor= [revious Factor+ (USDJPY spot rate at settlement day -97)/97]*N...

<t>Thanks for your helps first,actually, I want to estimate the net cash flow our comapny would receive in 3 months later.the formula of net cash flow: $100 million * [(8/7.5)*(N/M)-1], Here N = the number of days which satisfie the condition CMS10Y-CMS2Y >=-0.10% M=90 ( 3 months)that is all informa...

i need the method to estimate the probablility.CMS data can be achieved from Bloomberg.

QuoteOriginally posted by: horacioaliagaNumerix has this CMS Range Accrual as part of the standard exampleswould you like to give me the link?thanks

actually the problem is to find the probability: Prob(CMS10Y－ CMS 2Y <－0.1%)＝?CMS = constant maturity swapmy MSN, functionalanalysis@hotmail.commany thanks !