<t>Good morningI ve built a BDT model using interest rate and volatility. For that I use three different books: Haug (Options Pricing Formulas) , London (Modelling derivative in C++), Clewlow and Strickland (Implementing Derivatives Models).Base on that i ve got three different results for the same ...

<t>Hi all, My Money market desk send me every year a new estimated rate for the EOY. So let imagine my USD libor 3M curves, i use a Dec Futures 13/12- 13/03as tenor. I considered my year end turn happened 31/12/10 - 04/01/10. I wonder how to fairly recompute my zero curve for the 16/03 ? From a sani...

By any chance is there further new on that topics, rshan,cmb did you succeed to built your OIS curveAlso I wonder OIS curve is given till 1Y, which data are you using to built th e2Y, 3Y and so on ? Many thanks

<t>Good Morning I am confused about the two curves methodology I wonder how you are computing you forward rate and more specifically which discount factor you are using. Are you still using the standard Forward rate formula: [Px(t,T1) - Px(t,T2)]/[(T1-T2)*Px(t,T2)] or are you discounted using the fu...

<t>Good Afternoon all, I am currently working on a Multiple Forward Curves. I ve read all this interesting paper and want to make sure that i am right. Let s assume a Eur Vanilla IRS 3M. Reuters or Bloomberg provide me the data to built my Yield Curve till 30y. In my example, i will use for the Disc...