<t>Hi,I am trying to implement a model for calibrating the Libor Market Model using the method described by Rebonato and Jaeckel (R&J) in their paper "Linking Caplet and Swaption Volatilities in a BGM/J FRameowrk: Approximate Solutions. I have attached my model below. I have implemented the mode...

Thanks again for your help Kimosabe, I'll take your remarks into account whenever I get a chance to modify my model.John

<t>Thanks for your reply Kimosabe, from looking around the web I had seen other people do it that way. So instead of discounting to the option expiry date and then discounting from there again to time 0, I should be calculating the instrinsic option price at each period (ie swap rate - k) and then d...

<t>Hi,I am trying to implement the Milstein discretization scheme for generating forward rates using Monte Carlo Simultion in the Libor Market Model to price Swaptions. I am using the implementation shown by Brigo and Mercurio in their book Interest Rate Models - Theory and Practise (pg 264). To pro...

<t>Hi,I am trying to find the paper by Prisco & Rosen called "Modeling Stochastic Counterparty Credit Exposures for Derivative Portfolios", would anyone have a copy of it out there?The only place I can find it is in the Counterparty Credit Risk Modelling book by Michael Pykhatin, but unfortunate...

<t>Hi,I am trying to find a way to see (estimate) the CVA adjustments on market prices for swaps so I can test a CVA model I have designed to see if it is coming up with similiar prices. I was wondering would anyone have any ideas about how I can do this?I was firstly hoping that I might be able to ...

Thanks for coming back, that makes a lot of sense.

<t>Hi,I understand that in the days before a stock goes ex-div its share price will rise and then on the ex-dividend date it will drop by approximately the amount equal to the dividend. If I was looking at a future on the stock, how should its price be expected to behave, would you expect the future...

<t>Thanks for coming back DavidJN, my question is more fundamental then that I think, what I am asking is that is there a convention as to what curve you should use when discounting a set of fixed cashflows. As I was saying I would always have presumed you would use the base curve (ie a 6M curve for...

<t>Hi,When pricing fixed rate bonds I would have always applied discount factors generated from the base curve for that currency (ie 6 month for GBP and EUR and 3 month for USD), no matter what the payment frequency of the swap. So for example for a EUR bond I would have taken my rates from the Bloo...

<t>Hi,I was wondering if anyone has any ideas on how I could value the following option, as I am struggling to think of how to model this. A British company is receiving a monthly USD cashflow stream, they have the option at any time over the period of the deal to convert this cashflow stream into a...

<t>Hi,For a normal Basis swap I would generate my "true" discount curve, without any basis spreads applied, for discounting my cash flows and then apply the basis spreads to to calculate my forward rates for accruals. For a Cross Currency Basis swap I would do the same, also applying my cross curren...

<t>Hi,I have a question about which yield curve to use when calculating the fair value of GBP fixed V quarterly resetting floating rate compounding swaps, ie swaps were there is no cashflows till the maturity date when the compounded cashflows for both legs are exchanged.For a normal vanilla fixed V...

Hi,Thanks a lot Aaron, I wasn't sure if the short rate was a directly observable quantity or had to be estimated in some way.Cheers,John