It did happen inthe 70's for the CHF, at the time they had foreign exchange restrictions ... Nowadays, the EUROSwiss futures are trading above 100 !!!Looking back at the past 10 years, I would say that anything is possible !!!And the Euro crisis is not finished yet ....

<t>for me, you need to know what is the funding cost of your collateral, there is a big difference betweenCash (your ovenight funding, often using OIS as a proxy), AAA Govies (sub OIS), Investment grade corporates (OIS +100 / 200)Keep in mind that If I have the right to post Cash or Corp bonds as co...

<t>the normalised vol is important in the gamma area ie for options with a maturity lower than 2 years.The curve is so steep in the short term, it is better to look at the bp per annum vol than the log vol, with the log vol, the standard deviation of the underlying is proportional to the forward.the...

<t>The ISDA CDS model is a very simple model, it is just used to compute the upfront corresponding to a market quote,but even on markitMarkit closing price, you can see that several credit entities have quotes for different CDS coupons : Volvo is quoted for 25, 100 and 500 margins and the correspond...

You need to price the present value of the Swap,the swap receives the fixed rate of the bond (first coupon is FULL COUPON)and pays Libor (usualy 3M) + ASW margin.Then par plus the PV of the Swap will give you the DIRTY price of the bond.voila.

let's consider two swaptions At The Money, both 10Y1Y, one of them is versus Euribor 3M (fwd= 3.45) the other one versus Euribor 12M (fwd = 3.60).Which one Is the most expensive ?Is there a model to price the spread ?Cheers