Don't forget the paper "Better approximations to cumulative normal functions" by Graeme West. If I remember correctly, the double precision implementation matches Excel exactly.

Cheers,
Jordy

EMMI (European Money Market Institute) is working on "new" interest rates for EU area. By the end of 2019 Euribor will become "hybrid" and Ester will replace Eonia. This reform will define new benchmarks for risk-free rate EUR. Can you figure out the impacts on quantitative finan...

The correct name is Castagna, not Castagno...

Cheers.
Jordy

I am searching formulas and examples about shifted lognormal digital caplets (à la Black'76) for IR options.Also the sensitivity formulas (delta, gamma, vega, theta and rho).In internet I was not able to find any material.Can you suggest a good book/paper on this topic?Cheers,Jordy

Infoproviders publish flat volatilities; caplets volatilities must be bootstrapped.Cheers,Jordy

<t>It might be a structured payoff based on european options.For instance, an option call "up and in" european (and with european barrier) can be decomposed as:- a plain vanilla european call option with strike equal to the barrier, and- a binary european cash or nothing call option, with strike equ...

I have to implement SABR in our financial library.Is this book still recommended?Recent "multicurve scenario" suggests other books/papers?Thank you,Jordy

Even if you assume both systems use the same model Black Scholes (Garman Kohlhagen), the two implementations may be slightly different.For large notionals, also these differences may impact on the MTM gap.Cheers,Jordy

Have you seen this one?http://www.fabiomercurio.it/LMMpostcrun ... eers,Jordy

On some systems they bootstrap at (T+2).After doing that, they use Overnight and TomNext rates to compute a discount factor (pre-spot factor) to fill the gap between (T+2) and today.The resulting discount factors are at today.Cheers,Jordy.

Believe it or not, I have to use ISPF, DB2 and... Cobol!!!Cheers,Jordy

Which values do you get?What are the published values?Cheers,Jordy

<t>We are asked to compute the fair value of structured interest rate swaps.One leg is plain vanilla (euribor 3m + spread), but the other leg is bound to a BTPei (i.e. a bond linked to index HICP XT - european inflation index).Can you please suggest a good book (or paper) dealing with this kind of i...

Is it possible to download a bootstrapped interest rate curve using Bloomberg Data License?For instance, which tickers should I use to request the current EUR (#45) and USD (#23) curve?Thanks.Jordy

In column J of tab 1MZLibor you used linear interpolation on zero rates, right?Did you try with log-linear interpolation on discount factors?Bye.Jordy