LIBOR rates are fixed in London TIBOR rates are fixed in Tokyo

Hi How can i derivate the usdjpy swaps so that the year end turn is incorporated?

I guess the 6MLIBOR curve is semi annual hence the Futures are not in the curve pricingwhereas 3MLIBOR is a quarterly fix...correct?

<t>I have finally build my yield curve + DF curve + zero Curve with the inhouse toolsAnd now I need to understand how other curves are made...I am seeing that some fo the swaps are measure off a JPY LIBOR curve and JPY 3MLIBOR curve(i guess like the USD it is 6MLIBOR and 3MLIBOR curve)*** The differ...

<t>QuoteIt is a GREAT book....I just used an example to price a Money Market swap (6m maturity) in excel. I got the same result as our inhouse pricing system.It helps being able to generate these calculations in a spreadsheet.I havent viewed the CD yet but definitively grt.will post on some argument...

<t>sry i am still learning so i dont know which quote you are talking about when you say fix / fix could you show me an example? the -20bp is on the quarterly fix.USD: I pay fix and receive floatingJPY: I receiev Fix and pay floatingBasis: I pay 3M USD LIBOR floating and Receive 3M JPY LIBOR Floatin...

what do you mean by fixed ag fixed?could you pls give an example? (you might be right)

does this seem right?perfect hedge?

<t>scenario:I S/B 100 mio USD ag JPY (I pay) at -720 spot ag 4YR --------------Hedging:1/ Basis Swaps -10 / -20 (MIRS1 quotes)>>> I would Receive Yen floating quarterly fix -20bp and pay dollar floating quarterly fixand2/ USD IRS 2.8890 / 2.9310 (USDAM3LIRS quotes)>>> I would pay 100 mio usd at 2.93...

I just bought Flavell's bookand it looks really great!!! tks!!

I am not able to use cubic interpolation for the futures...do you know why?and if interpolation methods depends on what ppl want to do does anyone out there have an opinion on what they use and why?Thanks

what would you use for the interpolation? Options are as follows for the interpolation* Simple Linear * Linear* Geometic* Exponential * Best Fit (only for swap interpolation) * Cubic * TradeBasisLinear * BusinessDayGeometric

<t>This is the "quantitative easing" peoeple have been talking about.Despite Fed Fund target rate is at 1%, due to the massive supply of USD in the market, the day to day rates are traded lower at 0.27% yest (weighted average) with a ragne of 0.125% and 1.25%>> see FEDFUNDS1 is the RIC but as the ra...

<t>Ah yes sorry was not clear on the question...*DFinterp = Discount factor interpolation >> Exponential*Futinterp = Futures interpolation >> LogCubic*Swapinterp = swap rates interpolation >> LinearNow are they using the right hand side interpolation?i.ewhy using exponential interpolation for the di...

<t>The in house tool asks me to specify what interpolations to use for the following.Build Parameters*DFinterp*Futinterp*SwapinterpFrom a pricer already built the following are used:could you pls tell me why cubicspline would not be used for all?*DFinterp >> Exponential*Futinterp >> LogCubic*Swapint...