<t>Hi, I need to write a simple interest rate swap pricer in python.The task is basically this: I have two curves, price the same swap with both curves and see what the difference in swap rate is.I am semi-proficient in python, I don't think that will be an issue.The same job must have been done by ...

Thanks guys. Those explanations were very helpful. Especially the part where you can pin to the market by going massively short.

thanks, that helps.

<t>ok, what I am trying to find out is, when I am long an swaption I pay theta daily and I like vol because I can make some money in buying/selling swaps and hopefully that's enough to cover my -theta.when I am short a swaption my theta pnl is positive everyday and I hate vol. I don't want the strik...

<r>I still don't see this.I just read this:<URL url="http://www.ict.nsc.ru/jct/getfile.php?id=461The">www.ict.nsc.ru/jct/getfile.php?id=461The</URL> so called delta-hedging is a dynamic hedging strategy. Here, it is sought, price changes ofthe swap to be compensated with price changes of the swaptio...

will do that now. Thanks for your help.

<t>Yeah, OK. So when I'm short gamma I don't like high volatility because that could drive the forward towards the strike and I'm more to have to pay out to the person who's long.But I was more thinking, why does hedging away Delta not make sense when I'm selling and option?I guess I can hedge it aw...

real newbie question, but would appreciate some input.so when I buy a swaption I am long gamma and long vol.I want the market to move because I can make money by buying and selling the underlying swap.If I write the swaption and I am short Gamma, WHY don't I want the market to move?

in terms of fixings and that risk only?

<t>if I enter into a Swaption Straddle today, let's say "1m10y atm"then everyday until expiry I enter into some swap to hedge the delta. As long as the delta of the swap is opposite that of the portfolio and the total delta is 0, does it matter if my swap starts spot or on the same day as the underl...

<t>ok, I use a zero coupon yield curve to discount the cashflows of the swap.But to get the cashflows I need the forward yield curve.so if my swap pays every 3 months I need to know what's the yield for a 3m investment at times x in the future.if my swap pays every 6 months I will need to know what'...

QuoteOriginally posted by: TinManAre you looking for an answer for yourself or someone else?Did you read what DocToc posted?for myself. I also read DocToc's post, but that's almost too much detail.Maybe this way: what's the major difference in building a 6m curve versus a 3m curve?

<t>QuoteOriginally posted by: TinManWhy if you have a swap that pays in dollars is a dollar curve used, but if a swap pays in sterling a gbp curve is used?It's the same question with the same answer.I see what you mean, I am looking for an answer that is too basic.but here is how I would answer the ...

Really I am looking for an answer to both. I don't think I can understand one without the other.

ok, let me explain what I want to know.If I want a swap that pays every 3 months why is a 3m curve used and when I want a swap that pays every 6months a six months curve is used and if I want a swap that pays every 12 months, still the same curve as for the 6months is used.