http://www.fabiomercurio.it/Inflation.pdf

Reference term "C" in Equn 15 - referred to as a "correction term" in above pdf & as "convexity adjustment" in the bloomberg documentation (Mercurio/Zhang).

Maybe a bit dated comment with advances in computational power but back in day the trade off for longer-dated fx/ir hybrid exotics was could I get my EOD portfolio greeks by start of trading the next day (so use less theoretically elegant yet quicker calculation-wise model during the week) & the...

xccy basis swap levels can hit 0 sometimes so believe need to use absolute changes for this particular riskfactor 

fyi. found Geoff Chaplin's Credit derivatives book & the excel spreadsheets that came with it helpful to understand various copula approaches for FTDs

Why not have a look at xVA (counterparty credit risk) roles. You have the underlying asset class experience. Maybe have a look at the cva pricing model in QuantLib and/or Jon Gregory's xVA book/spreadsheets to familiarize yourself.

Thx - agree with you! But the results from the spreadsheet appear to show the opposite occurring - just trying to determine why this is?

<t> ALL ELSE EQUAL, as correlation increases, equity spreads should decrease (the probability of 0 losses goes up) and the senior tranches spreads should widen (the probability of large losses goes up). That is consistent with Gibson, but not consistent with your Annex 4, unless you're somehow quoti...

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Thanks very much for you help Aaron!Best Regards,Grant

<t>Hi allWondering if anyone could please shed some light on this!We are underwriting hundreds of loans and have decided 1 worksheet per loan in 1 global workbook is too cumbersome (+ 15MBs). We therefore want to have a hundred separate files in 1 folder, each with proper file naming syntax, and hav...

Taihen desu ne!

Try this link to Fish Pool ASA: http://www.fishpool.eu/Fish Pool ASA is located in Bergen, Norway.See my email below for an example of how a trade is done.Rgds,Grant

<r>It doesn't have to be limited to spot trades!It has been done before: <URL url="http://www.fishpool.eu/comweb.asp?session=&ID=18&segment=1Excerpt"><LINK_TEXT text="http://www.fishpool.eu/comweb.asp?sessi ... t=1Excerpt">http://www.fishpool.eu/comweb.asp?session=&ID=18&segment=1Exc...

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<t>Dear all,Say I enter a typical quanto inverse floater swap where I pay [5% - USDLibor3m] quantoed into CAD, floored at 0% (meaning I'm short a USD 5% Cap). But say I'm also long a Spread Cap [CAD rate 3m - USD Libor 3m with 0% strike] where I have the right to switch every 3m from [5% - USDLibor3...