no problemlet me know if you need anything elsecheers

hithat's correct and it's one of the different ways to understand the concept..it all boils down to the concept of hedge ratio as you can seelet me know if you need anything else and sorry for the delayzwap

<t>23k is your portfolio sensitivity to 1bp movement in the 5y swap rate46k is the sensitivity of a 5y swap with 100mil notional so, if you want to be delta neutral, you must enter into a new swap with notional equal to the ratio between the two sensitivities (it uses the ABS because of the minus si...

thanks mate.

Hello guys,does anyone know how much is the annual subscription fee for total derivatives?I know i can contact them directly, but just wanted to avoid that at the moment in case they start bombarding me with follow ups after the free trial period ends.Cheers.

<r>ok...first, you have to show that the value of the floating leg is: 1-DF(N)then you have to impose that: 1-DF(N)=fixed_rate*Sum(DF(1,.....,N))i.e. 1-DF(N)-fixed_rate*Sum(DF(1,.....,N))=0i.e. fixed_rate= [1-DF(N)]/Sum(DF(1,.....,N))P.S. the first step is just the usual time value of money...Sorry ...

<t>Sorry to interrupt...but i don't think it is counterintuitive...if you have an european stock option, you have a view on what the price of that stock will be when the option expires..the same for a swaption...let's suppose you bought a 6m5y swaption...you have a view on what the 5y swap rate will...

ok.it has to do with the convexity adjustment.look around for posts about that.cheers

do you mean in arrears swap?

<t>you can hedge them with anything you want...standard practice is to use a forward starting swap (or at least that's what you usually do if you go through a broker...)for example, cap/floor on 6m euribor hedged with a swap starting in 6months and having the same maturity of the option, both fixed ...

I think the term sqrt(2pi) comes from an approximation of the BS pricing formula. I can't find any reference at the moment but if I do I'll let you know.P.S. look around for "know your weapon" by Espen Garder Haug it might be in there.

ok. but what 's its meaning?

<t>Hello everyone,quick question for the IR guys..it may be really stupid but here it is...Regarding bond option pricing...i see on a broker screen different prices for bund options...it shows prices, yield vol, price vol , bo vol and "beta vs 10y". Now, I understand this measure it has something to...