OK understood on the third dimension - I was leaving that until after I got the basics right. Just to clarify, the curve structure isn't flat, it's fairly steep. The the problem I have is is that each MC path generates a curve which just looks like a parallel shift of the expected shape of the curv...

OK understood on the third dimension - I was leaving that until after I got the basics right. Just to clarify, the curve structure isn't flat, it's fairly steep. The the problem I have is is that each MC path generates a curve which just looks like a parallel shift of the expected shape of the curve...

HI, I'm trying to calibrate a 1F HW model to the EUR swaptions market and am hitting a few problems. I am using a matrix of standard atm swaptions premia, out to 10y (1y1y, 1y2y, ... 1y9y; 2y1y, ...2y8y; ... ; 9y1y) sourced from bberg. The problem is that I can calibrate to small individual sets of...

HI, I'm trying to calibrate a 1F HW model to the EUR swaptions market and am hitting a few problems. I am using a matrix of standard atm swaptions premia, out to 10y (1y1y, 1y2y, ... 1y9y; 2y1y, ...2y8y; ... ; 9y1y) sourced from bberg. The problem is that I can calibrate to small individual sets of ...

<t>QuoteOriginally posted by: ancastMaybe it could be of some help the note I wrote about the problem of collateral posted in a different currrency. You'll find it here.In theory collateral should not play a role in determining the par swap rate, which should be independent from the collateral curre...

<t>QuoteOriginally posted by: pimpelI would assume, that there is only one expectation of forward rates and if you switch collateral currency, PAR rates should be different, to reflect of different cost of collateral in different currencies. You are correct. You can be quoted different PAR rates in ...

<t>QuoteOriginally posted by: quantericHi, I am wondering if you can help me out with two questions on OIS discounting.1. Comparison of projection ratesUnder OIS discounting, we would get a different set of forward projection rates assuming the same set of observations. Is this an inconsistency as t...

<t>The only time I ever hear CVA desks mentioned in market comments, is in conjunction with the phrase 'receiving heavily in EUR 30y swaps'. I assume there is some technical reasons why CVA desks are so exposed to the 30y part of the curve, and why they are always the same way. Can anyone explain th...

QuoteOriginally posted by: MartinghoulThat's the liquidity point in the mkt that's closest to the duration of the risk they want to hedge. At least that's my understanding.Is there a technical reason why they are so exposed to that part of the curve?

<t>QuoteOriginally posted by: Traden4AlphaTallied by Glassdoor.com and reported in Fortune magazineQuote"You have three boxes. One contains only apples, one contains only oranges, and one contains both apples and oranges. The boxes have been incorrectly labeled so that no label accurately identifies...

I often hear comments about CVA desks, and they always seem to be in receiving 30y EUR swaps. Anyone care to explain why they are always the same way, and why this part of the curve?

<t>QuoteOriginally posted by: gammaslideHi thedoc,Were you able to learn anything more about your last question?I always assumed that for sure for a swap where the collateral is in USD for example we have to consider cross-currency basis and dollar ois curve or swap curve (depending on whether we ar...

Does anyone know of any decent research on the effect of disasters, wars etc. on a countrys birth-rate. Could be interesting in relation to Japan and it's demographic problems.Found a couple of decent pieces.BMJ - AberfanFertility Paper

<t>OK, here's another question:For a single-currency swap, does the choice of discounting curve depend on the currency of the collateral posted on that swap?Say for example I have a straightforward, single currency, vanilla EUR IRS with counterparty A. Let's also assume that my CSA agreement with co...

<t>QuoteOriginally posted by: waterComplications are in multi-currency ones. That brings me to my next question... I have a similar formula for bootstrapping cross-currency curves under the assumption of OIS discounting, and wish to implement them for valuing my cross-currency book. However, I have ...