Usually in the market the bid ask quotes spread would be 100 Pts for a typical mid vol quote. (as the market is highly liquid)Not entire matrix is liquid. in a day you can see scattered points on the matrix for which trades have occured . Rest of the matrix is interpolated based on the skew.

<t>determination of strike level and maturity are most important and only parameters for selecting an option. this selection hinges on how much protection is rendered at a given strike level and matruity by the options to vagaries of the market with respect to volatility and delta.therefore, when fi...

The best way to calculate greeks is by repricing for small delta movements.

1) The method you are familiar refers to the cash settlement (annuity based method) and what you have mentioned is absoulutely right.2) the discount factor method corresponds to 3,4,5 methods.

<t>Physical Settlement: Actual Underlying Swap is deliveredCash Price: An Annuity worth the difference in Strike rate and Actual Rate is paod or receivedRest of the three methods are used for the purpose of calculating the cash price by a regular forward curve basis.I beleive this shoould be suffici...

<t>in your valuation, its a fixed leg on one side and cms 10 Y on other side. Your fixed Leg cash flows are very straight forward. ( fixed Rate*tenor*discount Factor)Now when using the CMS Rate, You should try to estimate at each reset date, the value of the leg is priced to par. for instance in a o...

May be credit grades model is suitable for the excel based application

<t>1) I did not understand your first question about extracting spot vols. If what i understood is correct, one reason for negative price, is the your cap prices are decreasing as your are going ahead, this is logically wrong, so try to see exactly, the implementation of algorithm.2) Your relation i...

<t>I have implemented a application that converts the cap volatilities into caplet volatilities. I use similar assumptions of what you say. i am getting good results. This bootstrapping is a trivial situation, The answer for 3M or 6M depends on the market data. Usually market provides, Volatilities ...

<t>if you want to do the second approach,one important aspet should be kept in mind VBA and EXCel sheet are two different animals.Now to do the second step,do the following,1)define your matrix as a range ( give some name)2) define a range object in a macro (vba part)dim abc as rangenow use this to ...