QuoteOriginally posted by: MartinghoulThis might be it, if my memory doesn't fail me...consistent valuationOK thank you

<t>QuoteOriginally posted by: MartinghoulQuoteOriginally posted by: miscelaniaOK Thank you.Regarding your previous answer.Would you discount non collateralized derivatives with a credit spread? Instead, I thought that your discount factor should reflect your cost of funding... Or smthg like that...(...

<t>QuoteOriginally posted by: MartinghoulQuoteOriginally posted by: miscelaniaQuoteOriginally posted by: MartinghoulWhat are the terms of the CSA under which the FX fwd has been transacted? Specifically, what ccy is the collateral?Hello,Thanks for your reply.It is a non collateralized FX fwd.Thank y...

OK. Thanks very much for your reply.In case it were collateralized (for instance in EUR) what difference would it make?Thank you

<t>QuoteOriginally posted by: DavidJNIt has to do with collateralization. If the two swap counterparties have signed 2-way CSA (credit support annex) support along with their master ISDA agreements, there will be collateral movements between the parties based on the market value of the swap. Say we'...

QuoteOriginally posted by: MartinghoulWhat are the terms of the CSA under which the FX fwd has been transacted? Specifically, what ccy is the collateral?Hello,Thanks for your reply.It is a non collateralized FX fwd.Thank you,

<t>Hello,I am facing the valuation of the following hypothetic FX fwd and I wonder if I should take into account the ccxy basis.I am a EUR bank and I issue: GBPUSD FX fwd I am valuing the FX fwd in euros in the following way:value in GBP=(mkt quote of the GBPUSD Fwd-Strike)*Notional in GBP*exp(-rUSD...

Hello,I wonder what is the funding cost of a interest rate derivative and on which factors does it depend.When a bank issues an IRS to a counterparty why and when does it need funding? Along the life of the IRS why and when does it need funding?Thank you,

<t>HelloI wonder what are the current practices concerning the discount curve to use in valuing uncollateralized interest rate derivatives.1) Must this discount curve match the funding cost of the derivative mark to market?or 2) Are current practices considering that the non-collateralized derivativ...

<t>Hello,I am confused concerning the curve that I should use to value the following instruments:1) Interest rate swap in USD2) Fwd FX EUR/USD3) Cross Currency Swap EUR/USDI am assuming all the time I am an european bank.I have available the following instruments:a) swap curves in USD and EUR b) EUR...

QuoteOriginally posted by: daveangelhow would a change in the exchange rate affect the value of a quanto ?Hello,From my understanding a change in the exchange rate would not affect the value of a quanto. Thanks,

<t>HelloI am confused concerning the calculation of the parametric delta VaR of a quanto option, for instance in GBP where the underlying is quoted in USD.I wonder if the 1-day horizon 99% VaR (in GBP) would be:Spot(in USD)*(quanto option delta)*(daily volatility of the spot)*2.33 or if I have to co...

OK, thank you for your reply.Do you know if there are more well-known models allowing for transaction costs, apart from Leland and Flesaker/Hughston ?

<t>Hello,I am interested in getting some intuition about why allowing for transaction costs in option pricing is important and the impact of such costs in options valuation formulas.As a starting point I focused on Leland (1985) model as explained in Wilmott book. I do not quite get Wilmott book int...

OK. Thank you so much.