<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...

<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...

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.

<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...

<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...

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?

<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...

<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(...