<t>QuoteOriginally posted by: ClopinetteHi there,I am going to preach for myself here but then it makes you feel good sometimes: I have posted an intuitive explanation for the CMS convexity adjustement in a previous thread. You will probably find it by searching on my posts about CMS.Hope this will ...

Hi guys, could u explain how to estimate beta (or another statistics) for a short-term index futures cause no enough market price exists for it.

to TheBridge, I agree with u, but usually implied correlation is unstable and sometimes correlation cant be stripped from swaptions cause cap and swaption are different markets.

I have got a swap curve from cny repo swap rates

I guess constant correlation is enough cause no real correlation can be implied from market.

I guess the equation holds true not only for vanilla option. u can use Taylor's furmula to get what u want

ur right I agree...

If you use swaps to delta-hedging complex products, I guess, these shoud be included in the portfolio.

but which model shoud be choosed to risk-manage the portfolio containing both vanilla swaps and complex products (must resort to libor market model)? I think the most important thing in risk-managing a portfolio is to apply the same inputs and the same pricing methodology.

<t>thx Clopinette. if as u said, two methodologies should be contained in pricing ir portfolio, one considering these sort of adjustements is used to price vanilla swaps and the other neglecting adjustements are used in libor market model to price complex products. analogously two swap curve shoud b...

<t>Thx AlexesDad, I think mismath always exists except for assuming actual accrual periods of floating leg coincide with periods of underlying libor rates. floating leg of swap will be priced at par if taking fwd rates projected from the swap curve under this assumption. any mismatch is nightmare fo...

<t>except length of accrual tenor mismatchs, I think start date also mismatchs if fixing days dont coincide with settle days of libor rates. Taking the period "May 18 2009 to Aug 17 2009" for example, assume fixing days is 5 (bds) and settle days is 2 (bds), then fixing date is May 11 2009 and 3m li...

<t>If swap's fixing days, eg two business days, dont coincide with to libor's settle days, eg one business day, there will be two types of fwd rates one used for interest and the other for discount. which one should be used in the libor market model? whats the market convention? are they same? thx i...

<t>I am following the way of Pietersz and Pelsser[2003] to calculate co-terminal swap vegas...however in their paper instantaneous correlation of fwd rates are not considered... If instantaneous correlation are not equivalent to 1, the instantaneous vols of swaption are not the linear function of in...

no one know that???