Hi Martinghoul,i have seen many posts by you regarding Basis swaps. kindly clarify my doubts over basis swap as mentioned in this thread.

<t>Questions.1) Do you really get 1M LIBOR zero curve directly in the market? then in case of 3M vs 6M (12 M) USD swap, do you get 6M (12M) zero curve in the market?When i say i will use 1M LIBOR zero curve as a forward curve, i will use this 1M curve to calculate forward rates for 1M side payment w...

sorry, in previous post, the discounting curve for both 1M and 3M will be same.

<t>Hi Thanks for the response. I was also thinking what you have said.Kindly search for "BASIS SWAP calculation" in this forum, you will get one post. go through it. If i follow this post , and try to price 1M vs 3M USD basis swap.I will price it using following steps:- get 3M LIBOR zero curve- get ...

<t>I have got a little doubt in this discussion. For USD, The LIBOR is quoted quarterly. so for a 3M vs 6M basis Swap:Party A pays: 3M + spread (bps) quarterly (3M vs 6M basis spread)Party B pays: 6M semianuallySimilarly for 1M vs 3M USD basis swap:Party A pays: 1M - spread (bps) monthly (1M vs 3M b...

I am also planning to apply to Oxford, Cambridge, and Imperial. Could anybody please tell me about my chances of getting into these schools. I have heard about Warwick, but don't know much about it? how is it?

<t>Thanks for responding back. My bachelors was in Metallurgy, and yeah, apart from mandatory courses, i didn't do any other math courses. Even though i haven't done any particular course in Stats, but i keep on reading Stats material for example: Regression, various kinds of distribution, hypothesi...

<t>Hi All,I am a passout from Indian Institute of Technology (IIT),Kanpur and am currently working with a finance startup firm in india as a Quantitative analyst. I am looking to apply for MFE this year. Following is a brief about my profile:Work Experience: 1. Current Firm: Working on valuation/pri...

<t>Hi All,I am trying to calibrate HW1F model using ATM caps. I Have already gone through the posts which are there on this forum regarding its calibration. I am calibrating this model by simultaneously optimizing a,sigma. And the end result is that there is an error of 7% in the model prices and ma...

In my previous post, the first equation should have beenand similiarly 2nd equation also.

<t>Hi All,I am presently working on Overnight Index Swap pricing, and have got a few questions. First of all, let me tell you about the methodology which i am following.Pricing methodology:1) Obtain OIS quotes, which are OIS fixed rates, from the market.2) Construct OIS zero curve from these OIS quo...

I also want to know how to make volatility cube. I know that by stripping cap volatilities one can cover one face of the cube. And then you have got ATM swaption for different strike and tenor combinations. Do you really tweak alpha parameter to fit the volatility (as suggested by pimpel).

<t>Hi All,I am trying to calibrate HW 1F model. In my firm, someone has already calibrated it using old caplet volatilities. But i really doubt if we directly get caplet volatilities from bloomberg. I know thta using <VCUB> we can get volatility cube, but it given me cap volatilities. My questions i...

<t>Hi All,OIS rate is quoted by the Fed and LIBOR is inter bank rate, which is greater than OIS rate. The difference between LIBOR and OIS accounts for Credit risk which one bank has while lending to another bank. Now I am having following questions on this.1) Whenever pricing some security, why do ...

I have been reading on net that MBS can be hedged using similiar duration treasury securities, but not able to visualize the same. Can anybody help me in understanding the same.Regards