Hi there. I am trying to assess the maximum risk involved in a cross currency swap in the absence of any exchange of principal. For a interest rate swap, I can calculate the potential credit risk profile modelating the future interest rate curve at each valuation date using  for instance, the Hull-W...

Does anyone know a good implementation for assessing the risk profile for currency swaps (sometimes called potential future exposure or PFE). My goal is determinate the swap exposure profile considering the the future evolutuon of the implicit variables of this kind of swaps: the interest rates in t...

<t>I mean a difficult paper to find for me:------------Malz Allan 'Estimating the Probability Distribution of the Futures Exchange Rate from Option Prices' J.of Derivatives Winter 97------------I do not have a J of D subscription.Many smile papers do reference to this. Specially when your are trying...

Malz, A. (1997): “Estimating the probability distribution of the future exchange rate from option prices”.

Malz, A. (1997): “Estimating the probability distribution of the future exchange rate from option prices”. Regards.hc

<t>I will appreciate a lot if somebody would explain me the FX option OTC market quotation conventions. (with details please).There is little help on the web.I am little confused because one way to quote is with a delta neutral basis. (delta exchange between the parts)Any explanation, link, pdf, or ...

<t>If a strategy risk profile shows delta values always with the same sign until expiration, Can I say it is a Directional Strategy under all market conditions? Do I need to verify this with some like Montecarlo?Directional means that the main component is not the volatility, just direction.I do thi...

<t>A long synthetic Forex forwards means to buy a Call and sell a Put for the same maturity and the same strike.However, what about the implicit Volatility about Call and Put?. If I try to build this FX forward, should I pick similar volatilities to avoid arbitarge under Put-Call parity.?RegardsHern...

<t>I have the following:Payoff = Max(S-K1, S-K2) Where both K are constant and K1>K2. As usual S is the stock price at maturity.What kind of option or strategy has this class of payment ?Is it possible?If it so, The payoff can be written as:Payoff = S-K2 + z * (K2-K1) where z at maturity can take a ...

<t>OK. But you should price the plain vanilla using implicit volatility. !!However, my question is: If given a certain type of Option or structure, When I should use a more sofisticated model??I believe that the methodology is try to stablish if that Option or Structure is "sensitive" to the process...

<t>Hi there,It's a empirical fact that some markets show volatility smiles. I am not sure if all financial markets (i mean options) have volatility smiles.Given that, when i try to price a option should I include this effect?. In the literature there are some ways to include this.However it seems th...

Thanks a lot, but I believe there is a bad the link, because it goes to "The page you are trying to access does not exist"Could you send me the right link?Regards

Any idea where I can found it.I have Hull's 4th Ed and Chance's 1997 Ed. pdf if somebody want to exchange.Regards.HC

<t>I would like to price zero cost up front options like Break Forward (Boston Options).Any reference (Book, paper, software, links) to this topic. (i am trying to find example to write a brochure)Sometimes these are referenced as FOX (forwards with optional exit), Contingent Option and Deferred Pre...