SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 8 matches

by Josip76
October 17th, 2012, 2:00 am
Forum: Student Forum
Topic: CCY Basis Adjustment - how CCS pricing is impacted
Replies: 4
Views: 10817

CCY Basis Adjustment - how CCS pricing is impacted

<t>Yes i am familiar with constant maturity swaps where you are performing a notional adjustment. i do understnad that you need four curves to price a CCS two OIS for discounting and two index based for forwarding and that the fair swap spread is calculated taking into account the impact of all of t...
by Josip76
October 9th, 2012, 12:14 am
Forum: Student Forum
Topic: CCY Basis Adjustment - how CCS pricing is impacted
Replies: 4
Views: 10817

CCY Basis Adjustment - how CCS pricing is impacted

<t>Hi,Im having a very difficult time understanding how the inclusion of the CCY basis curve, post credit crisis, has modified the pricing of CCS.For example, today (just as before the crisis) when a EUR/USD CCS is entered into party A borrows X?S USD from, and lends X EUR to, party B. During the co...
by Josip76
October 8th, 2012, 7:23 pm
Forum: Trading Forum
Topic: Basis Adjustment to a Swap curve
Replies: 9
Views: 21822

Basis Adjustment to a Swap curve

hi nike61062x,Im looking for a pdf document that outlines ccy basis swap adjustments could you recomend some please. For libor basis adjustments im using "Two Curves One Price" and its pretty good.
by Josip76
July 22nd, 2012, 4:24 am
Forum: General Forum
Topic: US Swap Curve (fixed or floating)
Replies: 8
Views: 152402

US Swap Curve (fixed or floating)

<t>QuoteOriginally posted by: johnself11generally swap traders use the e.d. futures for this granularity but when pricing a deal they will parallel shif the points on the curve to reprice the 2y swap rate, as that is the more liquid commodity....I know this is a pretty old thread and much has change...
by Josip76
July 22nd, 2012, 4:20 am
Forum: Technical Forum
Topic: Bloomberg <SWPM>
Replies: 12
Views: 20059

Bloomberg <SWPM>

<t>QuoteOriginally posted by: bearishIf you build a Libor curve using cash points out to 1 year it is not surprising that you will get an ugly kink between years 1 and 2. This has been around for most of the post-crisis period and is driven by a massive credit risk premium being built into Libor quo...
by Josip76
April 19th, 2011, 4:30 pm
Forum: Student Forum
Topic: European call option price under stochastic interest rate model
Replies: 3
Views: 20359

European call option price under stochastic interest rate model

Alan, thanks for your reply. However, it seems to me that you are taking r(t) and S(t) to be independent so therefore the covariance is zero and E[B (S(T) - K)^+] = E * E[(S(T) - K)^+] . In my model the two are correlated. Am I misconstruing what you did?
by Josip76
April 19th, 2011, 12:54 am
Forum: Student Forum
Topic: European call option price under stochastic interest rate model
Replies: 3
Views: 20359

European call option price under stochastic interest rate model

<t>When pricing a European call option using the Monte Carlo simulation when the interest rate is constant I can pull the discounting factor out of the expected value giving: C=exp(-r*(T-t))*E(max(S ? K, 0)/Ft)And then I can use the Monte Carlo method to solve for the expected value of the future pr...
by Josip76
March 5th, 2011, 6:42 am
Forum: Student Forum
Topic: Heston model probelm understanding Brownian motion correlation expression
Replies: 1
Views: 21411

Heston model probelm understanding Brownian motion correlation expression

<t>Hi, I?m examining the Hesston model and whenever it is presented I see three equations two SDE for the price and volatility processes and one equation for the correlation between the Brownian motions. I?m having difficulty with the correlation equation understanding how the assumption that dWX_1(...
GZIP: On