<t>QuoteOriginally posted by: MCarreiraIs your change in skew equivalent to the same increase in vol (in bp) for all strikes ?I am not sure what you are asking...Usually, people model static volatility skews (Blackscholes vols to price swaptions) using something like SABR, where the strikedependency...

<t>QuoteOriginally posted by: gammaslideassuming the long receiver remained otm throughout the period theta can never be positive, unless its deep itm??first, as DavidJN said, you probably want to describe more on the model and what you would like to do. backtest is quite a interesting, but tricky t...

<t>QuoteOriginally posted by: MartinghoulQuoteOriginally posted by: waterQuoteOriginally posted by: MartinghoulQuoteOriginally posted by: waterIn general, the fly liquidity is very limited. You have to ask broker for interest, or you have a wide bid/ask. From that you won'tbe able to really know bet...

<t>QuoteOriginally posted by: MartinghoulQuoteOriginally posted by: waterIn general, the fly liquidity is very limited. You have to ask broker for interest, or you have a wide bid/ask. From that you won'tbe able to really know better about the illiquid points. It might simply better to use smoothing...

<t>QuoteOriginally posted by: gammaslideQuoteOriginally posted by: waterDepends on your definition of delta. If delta is defined under constant vol, then yes. If not, then generally no. If your vol depends on rate level, like you have in SABR or other skew models, it is possible to have the opposite...

<t>QuoteOriginally posted by: sburaWould even 2-dimensions fail miserably?About hedging against an index, that's not even possible often. What if the derivative is against a commodity and a currency? There is no index for that.Yes correlation is a problem.But that's just part of the problem. In mult...

<t>QuoteOriginally posted by: xuthusMy guess is that flys can be used to extract par swap rates for less liquid tenors,as they are pure curvature trade with no delta risk, i.e. much less risk thantrading less liquid tenors outright.In general, the fly liquidity is very limited. You have to ask broke...

<t>Obviously, the closer to ATM, the less the change in vol when you change skew. The further away, the more vol increase for lower strikes.If too further from ATM, it is too deeply out of money to change in value. Therefore it must be some strikes in between ATM and deeplyOTM. So it would be a hump...

<t>Depends on your definition of delta. If delta is defined under constant vol, then yes. If not, then generally no. If your vol depends on rate level, like you have in SABR or other skew models, it is possible to have the opposite delta effect depending on the skew slope at the ATM. If your skew ha...

<t>QuoteOriginally posted by: thedocWhen you bootstrap a LIBOR curve from swaps, you have to make an implicit assumption about how you discount the cash-flows on those swaps. In the old world (where everything was discounted off LIBOR), you simpliy used the basic bootstrapping formula. But the simpl...

I don't see you have gamma and theta in here (assuming no vol change then no vega pl). That's everything you shld be observing everyday.

<t>QuoteOriginally posted by: piterbargQuoteOriginally posted by: atrom007Hi, When I value a structured bermudan the model I use is the hull white. for the calibraition my co terminal swaption all have the same strike (say the strike of the bermudan approx). Is this incorrect? I have heard people ta...

<t>QuoteOriginally posted by: salaaaHiI have issues pricing deep otm European calls, underlying at 16, 50 strike vol around 45% 100 strike at 75%, 800 dte, 2.5% risk free, zero carry.Question is why it that 100 call is worth circa 80 cents and 50 call only worth 40 centsWhat am I missing???You got a...

<t>QuoteOriginally posted by: katastrofaQuoteOriginally posted by: waterQuoteOriginally posted by: pcaspersyou can equate the NPV of a non-amortizing forward swap and the remaining part (after option date) of the amortizing swap and then price the corresponding standard swaption / put this standard ...

<t>QuoteOriginally posted by: pcaspersyou can equate the NPV of a non-amortizing forward swap and the remaining part (after option date) of the amortizing swap and then price the corresponding standard swaption / put this standard option into an IR model for calibration, if you have multiple call ri...