Thanks again, I appreciate the help

Thank you so much. Please refer me to anything else that comes to mind, I will read it all.

<t>Hi all,Can anyone give me a brief explanation, or direct me to some article that explains the reason for the spreads between government bonds and identical IRS?I see in the US the 2 year, 5 year and 10 year IRS are above the Treasuries, yet in other Emerging market countries the IRS are below the...

Hi all,Can anyone recommend what the best way is to get tick by tick data (highest resolution) for options on G7 currencies?Also what would be the best way to get tick by tick data on EDs? (futures on 3m libor)Thanks!

Hi all,Say I have the following problem: 1 month exp skew for a given asset forward "F", and I want to compute probabilities of the location of F 3 days forward, i.e., P(F<K,3 days later). What would be the best way to do this?Thanks,Avshie

thanks

<t>Hi all,I read a ppt by Dupire called "Model Free Results on Volatility derivatives" where there was a question stating:"You know in advance that the total realized historical volatility over the quarter will be 10% and you sell a put at 15% implied. Are you sure you can make put(15%)-put(10%)?"An...

You could calculate the average number of days the same way a range accrual option is evaluated.

Thanks TraderJoe. I appreciate your help.Does anyone have any other interesting articles to refer me to that might help me out?Thanks again!

<t>Hi all,I've read Peter Carr's article about hedging corridor variance swaps and wanted to know how I calculate the strike of the variance swap from the option prices making up the static hedge. For instance, the strike of a regular variance swap is Kvar=(2/T)*(r*T-(S/L*exp(r*T)-1)-log(L/S))+exp(r...

No need to apologise at all! Thanks for your help, it is greatly appreciated.

<t>To be sure, I know how to annualise standard deviation... My problem is as follows:By monthly returns, do you mean X(n)/X(n-1) ?? Or do you mean X(n)/X(0)?I checked and saw that the S&P's Standard deviation of the above figures for the last 12 motnhs is 9.11%, while the standard deviation of ...

Hi all,Does anyone know what the common standard is for posting a hedge fund's standard deviation?Do I calculate the variance from the fund's rate itself, or should I calculate the variance of the monthly percent changes?Thanks,Avshie

Can anyone please direct me to a good article about statically hedging corridor variance swaps?And in addition, any good article about hedging up-var swaps, forward starting options and KI/KO forward starting options or forward variance swaps.Thanks all,Avshie

<t>Sorry for not being of any help, but I posted a question about forward starting options and got no replay. Maybe you could help me? I was wondering what is the best way to price this option without using SV or LV models? In addition, any thoughts of what would be the best way to hedge myself agai...