<t>Dear friends,We are testing the new VaR calculation system, but the result is reasonable for Asset Swap.I separated the asset swap into 4 parts: 1 principle for fixed rate bond, fixed rate cashflow for the bond, fix rated rate cashflow for the IRS and floating rate cashflow for IRS.From the separ...

<t>Freddiemac, Thanks for your document, it is very help for me to understand the spread.In the document, both Z-spread and ASW spread are very useful to measurement the credit quality of bond. But I observed that many of the financial system to calculate the bond price is based on Z-spread, not ASW...

<t>Dear friends,I tried to calculate the interest risk on FRN. I have calculated the NPV of the FRN, and then moving the discount curve and libor curve up at the same time. It will generate a +ve pvbp when the FRN price is discounted. I tried to verify my calculation with Bloomberg, but the result i...

<t>dear friends,I have a problem on understanding the meaning of the spreads in BloombergThere are several spread in YAS, my understanding is that1) G-spread: spread between the bond and governement curve. 2) I-Spread: spread between the bond and IRS curve3) Basis: spread between the bond and CDS 4)...

But don't forget the major risk is the credit spread on asset swap.

Thanks.Is it possible to calculate the volatility of individual stock from market index volatility and beta?and why some VaR calculation engine use the market index as base to calculate the VaR of individual stock rather than the using the price of individual stock.Thanks again

So the beta method only apply to well-diversified portfolio, or those equities are the memeber of index?

<t>I have a system that calculate an individual equity var based on volatility of index and the beta of that equity. But the VaR is very difficult from what I calculated from individual equity volatility.And I checked the data, the index volatility is about 45%, and individual equity volatility is a...

Thanks.Practice will make the result stable..

The problem is that the PV(embedded option) and PV (bond with embedded option) are the two sides of same token. And it is not easily to observe the price from the market.So I think that the rate of convergence is a only indicator to help me to find an acceptance level of stable result.Thanks

<t>Thanks for your reply.The question behind is that I would like to calculate the embedded option bond value and var.For your questions1) I have no idea how accuracy are, coz there is no agreed price in the market of the embedded option bond.2) full scale mc simulation used3) want to sort the embed...

Can anyone advise that minimum no. of scenarios used in simulation can provide a stable result.Thanks

If it is a fixed rate bond, CS01 and PV01 is the same.If it is a floating rate bond, CS01 and PV 01 is very different.

<t>In my company system, it only calculate the simulation by considering interest rate movement only, assuming spread constant. I think the most easy and convienent way is to simulate the value by price (which is a combine of interest rate and spread change). And the correlation between the interest...

<t>In my company system, it only calculate the simulation by considering interest rate movement only, assuming spread constant. I think the most easy and convienent way is to simulate the value by price (which is a combine of interest rate and spread change). And the correlation between the interest...