<t>Hey Guys,Can any of you guys suggest a good place to read about Brazillian market conventions?In particular I am interested in.1. Money Market, Future/FRA & Swap conventions2. What instruments are most liquid3. Suggested curve inputs for valuations4. FX spot / FWD conventionsMany Thanks in ad...

Pay dates have to be considered. You will discount your cashflow from you paydate not end date as your aim is to find what that cashflow is worth today ... and the cashflow hits with a paydelay.

<r>Check out the riskmetrics document pages 121-123... <URL url="http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.77.1927&rep=rep1&type=pdf"><LINK_TEXT text="http://citeseerx.ist.psu.edu/viewdoc/do ... 1&type=pdf">http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.77.1927&a...

QuoteOriginally posted by: BullBearThere has never been such a Party in Portugal Where did it all go wrong for Portugal?

Anybody have recent research articles about UK RMBS performance? I'm looking to get some UK mortgage delinquency statistics too.

<t>I'm trading in USD. Today I buy a EUR depo for EUR 100mm, and I offset my XCCy exposure by entering into a CC Swap at the same time, 100mm. I have hedged my principal exposure perfectly for the life of the deposit. When I test FX sensitivity on these positions I would imagine that they should the...

<t>The kind of things I'm thinking of are ...What kind of asset classes will the insurance industry be pushed towards buying?What assets are on their balance sheets at the moment that they will need to get rid of?What will the time horizons be of their FCF investing? Will they be subject to increase...

Has anybody outside of insurance analysed QIS5 for SCR impacts on investing in different asset classes?

<t>Sorry to all, I just couldn't let this beauty go.A practical question I have not yet found an answer to...Why is it correct to use 1Y swap rates vs 3M Libor on a 3M curve? When you discount the 1Y cashflows you use the Discount rate calculated from the Zero rate of the 3M futures, and the zero ra...

Life just ain't that easy

QuantLibXL is a fairly poor learning tool, your not going to get to see how its actually done because everything is hidden behind the formulas.

<t>QuoteOriginally posted by: Samsaveelso it will only be correct if the bonds are default free Ahhha ,otherwise the cash flows should be discounted from the same curve at 2 different points in time.is that right?thanks in advanceThat doesn't sound right to me. The two curves are completely differen...

<t>I believe speaking about credit risk in swaps is a waste of time when you enter a swap agreement with a conterparty where ...1. Theres no principal changing hands2. Both parties have signed an ISDA agreement3. There is a CSA in placeWhether you use Libor or OIS is really down to personal preferen...

<t>How are you going to estimate your credit spreads? Are you then going to have a different curve per counterparty? I think this is unpractical and when it comes to agreeing collateral settlements when you use OIS or Libor on your curve really doesn't matter. Libor is pretty standard practise for t...

<t>Thanks Bucklersbury,I understand the formula however the term C1 is a point of confusion, because it says that C1 "may be the first frational payment" or "may be" zero. However I argue that if P = Dirty price (includes accrued interest) then this C1 term should also include accrued interest. Ther...