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by kelang
November 2nd, 2012, 10:22 am
Forum: Technical Forum
Topic: callable range accrual pricing
Replies: 5
Views: 14716

callable range accrual pricing

<t>QuoteOriginally posted by: spv205kelang - why are you pricing digitals on tree rather than in closed form at time t? that is surely the problemYes you are right it is about the digital, and I agree it should use the closed form.I just want to see if it is possible to do so. I heard it can be done...
by kelang
November 1st, 2012, 8:38 pm
Forum: Technical Forum
Topic: callable range accrual pricing
Replies: 5
Views: 14716

callable range accrual pricing

<t>hi all,May I ask a question about the range accrual note/swap pricing? I am trying to price the callable RA note/swap under a short rate model with internal adjuster (do not want use LMM with MC).Let us assume the short rate model is fully calibrated, and tree is built, and libor index has been p...
by kelang
October 19th, 2012, 1:24 pm
Forum: Student Forum
Topic: CCY Basis Adjustment - how CCS pricing is impacted
Replies: 4
Views: 10772

CCY Basis Adjustment - how CCS pricing is impacted

indeed, you can do some good approximations by manipulating the spreads, check some docs from bloombergbut anyway approximation is just approximation..., it might give you trouble when things change
by kelang
October 9th, 2012, 1:17 pm
Forum: Student Forum
Topic: CCY Basis Adjustment - how CCS pricing is impacted
Replies: 4
Views: 10772

CCY Basis Adjustment - how CCS pricing is impacted

check out the mark-to-market xccy swap...
by kelang
September 28th, 2012, 4:52 pm
Forum: Technical Forum
Topic: Multiple curves for Cross Currency trades
Replies: 11
Views: 28788

Multiple curves for Cross Currency trades

<t>QuoteOriginally posted by: Joshua2004some typo before, correction:I think you misunderstand me: for GBP swap itself, it should collateral with GBP and then you use SONIA as discount, which should get from OIS swap market, and you solve the forward 6 month rates based on the GBP swap market.Then w...
by kelang
September 28th, 2012, 2:14 pm
Forum: Technical Forum
Topic: Multiple curves for Cross Currency trades
Replies: 11
Views: 28788

Multiple curves for Cross Currency trades

<t>QuoteOriginally posted by: Joshua2004I think what kind of curve you use should depend on what kind of asset you use as collateralsay for USD/GBP, because you are using USD as collateral, so your stripping should based on USD FED curve, and you solve the SONIA+spread as discount on GBP side to get...
by kelang
September 24th, 2012, 2:24 pm
Forum: Technical Forum
Topic: Instable VaR question
Replies: 9
Views: 11163

Instable VaR question

used to work on VaR models before- you cannot do window average to pass regulators since you are underestimate your risks...- try some statistical models which will give better stable VaRs
by kelang
September 20th, 2012, 12:31 pm
Forum: Technical Forum
Topic: LCH.Clearnet OIS discounting
Replies: 7
Views: 12073

LCH.Clearnet OIS discounting

ask them, they do provide detailed curve construction methodology to their clients (up to 17 currencies), you can match their pricing and curves pretty closely, less than 0.01bps
by kelang
April 23rd, 2012, 6:18 pm
Forum: General Forum
Topic: ois discounting effect on par swaps
Replies: 6
Views: 16115

ois discounting effect on par swaps

<t>many places do this from 2Y aboveQuoteOriginally posted by: PvalAnal85HelloI have a further sub-question on this topic, regarding the fact that USD OIS outright swaps do not extend beyond the 10y point, and it is therefore necessary to substitute in FF vs LIBOR basis swaps to extend the OIS and L...
by kelang
March 5th, 2012, 6:21 pm
Forum: General Forum
Topic: CSA vs no-CSA swap
Replies: 13
Views: 20354

CSA vs no-CSA swap

<r>QuoteOriginally posted by: tulahi kelangI agree with you that, in principle, forward curves depend on the particular funding assumption (ie. CSA or not; if yes, what collateral currency & rate; if not, what unsecured funding rate) that is used for calibrating the curves. This is discussed in ...
by kelang
March 5th, 2012, 12:51 pm
Forum: General Forum
Topic: CSA vs no-CSA swap
Replies: 13
Views: 20354

CSA vs no-CSA swap

<t>QuoteOriginally posted by: MartinghoulYes, so I am not entirely sure what your question might actually be. The two cases are, in fact, inconsistent.Thanks Martinghoul.My key question is,First of all, most practitioners are moving to OIS, so in the OIS world, one has a discounting curve and a set ...
by kelang
March 3rd, 2012, 12:25 pm
Forum: General Forum
Topic: CSA vs no-CSA swap
Replies: 13
Views: 20354

CSA vs no-CSA swap

<t>QuoteOriginally posted by: MartinghoulAs far as I am aware, you have to answer this question by making a fundamental choice that everyone makes for themselves. There is no right answer.Thank you so much Martinghoul, I benefit quite a lot by reading your answers on many threads...Yes, I understand...
by kelang
March 3rd, 2012, 4:36 am
Forum: General Forum
Topic: CSA vs no-CSA swap
Replies: 13
Views: 20354

CSA vs no-CSA swap

<t>Hi All,I am getting confused about pricing CSA vs no-CSA swaps, so can somebody help me out?1. Without considering the CVA etc., should the par swap rate for a trade under CSA or a no-CSA the same? If not, where can I get the market quoted par swap rate for a no-CSA trade?2. For CSA and no-CSA, s...
by kelang
February 28th, 2012, 1:08 pm
Forum: Technical Forum
Topic: XCCY swap valuation under CSA...
Replies: 2
Views: 15150

XCCY swap valuation under CSA...

<t>QuoteOriginally posted by: JeriotWhat sort of comments are you looking for? Why would there be a difference in valuation whether the swap is traded under a CSA or not?There is no problem while changing from Libor discounting to OIS discounting. We can make the valuation consistent. However, when ...
by kelang
February 24th, 2012, 4:04 am
Forum: Technical Forum
Topic: XCCY swap valuation under CSA...
Replies: 2
Views: 15150

XCCY swap valuation under CSA...

<t>Hi All,Just a quick question about the xccy swap valuation under CSA:Say we have an at-the-money USD/DOM xccy swap trade collateralized in USD. For the USD leg, it will be valuated with FF discounting curve and 3M forcasting curve. Then, the USD leg now has a non-zero PV, which will create some s...
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