<t>Hi All, Can you recommend a risk management book that goes into gruesome detail for pricing energy swaps (NG, WTI) and cap/floors? I seem to learn best from examples, so something that has spreadsheet examples would be ideal (or Matlab examples). Additionally (this may be a two book recommendatio...

It turns out there was a detail in the deal I was missing (I did use linear interpolation - but it had to be scaled by 4 days, it was a weird deal). thank you for the response.

<r>It seems that more than zero rate bonds go into bootstrapping 3M Libor usually (at least this is the impression that I have). If that is the case, than why aren't zero coupon bonds generally used to bootstrap libor on a day to day basis? I do have an example based on zero coupon bonds and HJM, bu...

<t>Oh, sorry. I meant the only decent examples of models that have a significant amount of detail (based on online searches) involve examples with constant parameters. HJM seems to have a pretty straightforward representation via the equations, but the part that is not clear to me is whether the his...

<t>My understanding is that a short rate model models the spot rate only (for instance, the 3 month libor short rate model models only the 3M quoted rate for 3M libor). For short rate models, to recover the rest of the terms structure certain assumptions are generally made, although this is not the ...

Attached is a spreadsheet regarding my predicament. Anything that is highlighted is my own manipulation. My goal is to get column N to match column G in the "Deal" tab. Thanks again!

<t>Hi, This is a basic question, but for some reason I can't seem to find a clear answer. For a forward starting swap, I would use the formula: (D(t-1)/D(t)-1)*(1/dt) which would give me the exact forward rate our software is using for forward starting deals. For existing deals, especially deals for...

<t>Hi All, When computing VaR on historical data, what historical data should be stored for a full revaluation approach? 1) For instance, I could store two previous years bootstrapped curves, take the ratio from one day to the next in the term structure, shock the current zero curve to each of the r...

All, I found the following very useful regarding this discussion: http://knowledge.wharton.upenn.edu/pape ... .pdfThanks!

My main issue is that I need to derive a 30 year probability of default matrix(through the cycle) based on either S&P or Moody's(or the most simple way possible). Is there a straightforward way to do this? Thanks bearish!

That would be unfortunate... we're considering forecasting beyond 15 years if it isn't possible to get the probabilities from the transition matrix in a straightforward manner (we'd like to go out 30 years). What do you guys think? Thanks for the explanation Traden4Alpha.

<t>Hi, Yeah, there is a "NR" column(not rated) which assures the rows sum to 1. I tried including that by including a row at the bottom with 0's with a second to last entry of 1 and another row with a last entry of 1 (so it would be a square and I'd be able to square it). That didn't seem to do the ...

<r>Hi All, I found the 2011 S&P transition matrix in table 22 at: <URL url="http://www.standardandpoors.com/ratings/articles/en/us/?articleType=HTML&assetID=1245330814766If"><LINK_TEXT text="http://www.standardandpoors.com/ratings ... 30814766If">http://www.standardandpoors.com/ratings/artic...

Hi All,Is anyone aware of a CDS spread index based on industry? I'd like to pair SIC codes to get corresponding CDS indices. Thanks,Me