<t>i am at starting stage of LMM implementation (non-param calibration, piecewise constant)when using LMM to price vanilla caps, i know it can recover black model price.but during this process, i do not need to use the instantaneous correlation matrix. (i can get black price)it seems to me that forw...

<t>given both USD and JPY zero curvesin the cross currency swap, market imposes a spread on JPYthe basis spread is quoted in swap spread1Y +1.5 bp2Y +2.8 bpetc...from these spread quote, how to generate the discount curve for discounting JPY cash flow? or where i am able to find some reference?again...

<t>in John hull's book, swap rate is used as the average discount factor for a seriers of cash flowssuppose Rs is the 2 yr swap rate(annual coupon), cash flow denoted by CF1, CF2...the present value is given by:PV = CF1/(1+Rs) + CF2/(1+Rs)^2cash flow is usually given by a bondbut i am unable to find...

<t>i need to price a vanilla cap using black model, simple...suppose the trade date is 20/Feb/08, so i can have LIBOR quotes on the spot date 22/Feb/08i listed 1 caplet here, LIBOR 6M(dd/mm/yy)Reset date 03/07/08 Fwd begin 08/07/08 Fwd end 08/01/09when i need to compute the maturity in black model, ...

<t>i need to price 2yr CMS swaps, market quotes of swaption vol are givenwhen extracting the swap vol, is it the same method as that for market cap vol quotes?(stripping the cap into caplets)and i only need to look at the column for 2 yr swaption vol, right?the table is given belowUSD Swaption Vol S...

<t>from USD market quotes to build the discount factor curvefutures starts 19/Mar/08 (day1), payment on 18/Jun/08(day2)suppose the discount factors are df1 and df2 respectively, i am trying to calc df2:i havedf2 = df1/(1+r*(day2-day1)/360)r=(100-95.755)/100market quote:18/06/08 Future.USD EURODOLLAR...

thx gcif spot vol are used to price caplets, i understand that the maturity used should be 0.25, 0.5, 0.75but if flat vol are used to price caplets, should the maturity for all caplets to be 0.25????

<t>to find out the spot vol from known flat volsuppose we have one 1-yr cap, 3M resetassuming vol for the 4 caplets are v1,v2,v3,v4, and flat vol is Vwe have to meetpremium(v1)+premium(v2)+premium(v3)+premium(v4) = premium(V)however, i am confused when calculating premium(V)i know the same V will be...

<t>hi folksi am pricing barrier cap using the black modeli found the analytical solution in Martellini's book on fixed income securities (normal case, IR is fixed at the beginning of the period)but don't know how to price it when the IR is fixed in arrearsis there any reference i may look for?thanks...

thx davidyes, i was referring to the floating legi thought the fixed leg would have the same coupon payment freq as the floating leg?i need to check with front office guys

<t>i am doing interpolation to determine the zero curve from market quotesbased on the deposit rates and futures quotes, i can have zero curve up to 1 yrfor rates beyond that, i use swap rates to derive them (see below)14/4/08 MM.USD.LIBOR.3M 4.72730017/3/09 Future.USD.EURODOLLAR.DEC.08 96.59000014/...

<t>hi ppl,i am doing a project on option prcing using Monte Carlothe pricing part is quite ok, but got problem in greeksi read Glasserman's book and know how to estimate delta, vegai attempted to compute theta and rho, took derivatives by following the book's methodfor exampletheta = exp(-r*T)*S(T)*...

<t>tryrd = rand(1000,1000);last_col = rd(:,end); % last columninterval = linspace(0, 1, 100); % get binshist(last_col, interval);QuoteOriginally posted by: arunseshadriHi, I am new to Matlab and I am trying to generate a Random Numbers using Box Muller or something similar. I am able to generate the...

<t>QuoteOriginally posted by: AaronHere's another possible problem. If you're doing 10 steps a day, each step is likely larger than the tick size. Therefore, if a path exactly touches the barrier, there is a 50% chance that the real price hit the barrier (assuming normal algorithms and calibrations)...

<r>before checking out the program, i'd like to clarify one conceptfor the option just mentioned, assuming continuous observationthe analytical formula gives a price of A1 = $0.9648 the tri tree gives (1000 time steps, the KO event is checked for every step)T1 = $0.9635 A1, T1 difference is less tha...