Yep, I know I'm doing it wrong, hence the question.1Y swaps are currently 0.94 on bloomberg, then the 1y ZC spot rate won't be a million miles above that yet 12m libor is 1.57. As libor is a spot rate, this seems way to high.

<t>HiWhy is there a massive kink in the current libor/swap cuvre between GBP libor 12m and 18m swaps (and to a lesser extent in the EUR and USD curves). I realise that these are two different markets superglued together to get a curve, but seems to me that this would not explain the massive differen...

<t>Ok, thanks. That makes sense. Not sure why forward setlement would make a dfifference though apart from just being a pain to construct the arb. Would the fact that the caps market uses the forward Libor rate as the underlying state variable for Black Vols while the swaptions market uses forward s...

<t>Hi,i understand it, a cap can be represented as a portfolio of options on individual forward rates. In contrast, a swaption can be viewed as an option on a portfolio of individual forward rates. Therefore a no-arbitrage relationship must be satisfied by cap and swaption vols.Why do I keep hearing...

<t>HiI am trying to calculate ex ante portfolio skew and kurtosis in a simliar fashion to calculating ex ante portfolio vol in excel.I have a covariance and correlation matrix and portfolio wghts.Using the MMult function, Portfolio standard deviation can easily be calcualted. Is there a similar matr...

hi guys,any chance I can get a copy as welltobyhayes@hotmail.co.ukthankstoby