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by daveangel
December 3rd, 2003, 12:00 pm
Forum: Technical Forum
Topic: link between Reuters and Excel
Replies: 17
Views: 190449

link between Reuters and Excel

my recollection is that RtGet should return a cell in an appropriate format ... however u can use the excel function VALUE() to get your number from a text
by daveangel
December 2nd, 2003, 7:59 pm
Forum: Technical Forum
Topic: swap on the annual average libor rate
Replies: 3
Views: 189254

swap on the annual average libor rate

please elaborate about the payoffs ... does the fixed payer pay the average libor rate which is not unknown at inception and receive floating ?
by daveangel
December 2nd, 2003, 2:17 pm
Forum: Technical Forum
Topic: Caplet step up and fwd vol
Replies: 9
Views: 190139

Caplet step up and fwd vol

<t>QuoteOriginally posted by: FDAXHunterWell, I could always take 3 Month libor caps....I dont see how that helps ... if cap prices are quote as follows:1yr cap on 3m Libor = vol12yr cap on 3m Libor = vol2u have 3 caplets for the 1 year cap and 7 for the 2 year, yet u only have two flat vols ...how ...
by daveangel
December 2nd, 2003, 12:25 pm
Forum: Technical Forum
Topic: Caplet step up and fwd vol
Replies: 9
Views: 190139

Caplet step up and fwd vol

And what do u do if the caplets were on 3m Libor ? clearly the bootstrapping doesnt work then ... u need to start making some assumptions about the relationship between forward vols
by daveangel
December 2nd, 2003, 12:21 pm
Forum: Technical Forum
Topic: feb-may 2000
Replies: 27
Views: 190227

feb-may 2000

<t>QuoteOriginally posted by: matt007quadrature,so r u telling me that traders generally took a long position in feb-may 2002 as the implieds were quite low and the environment was of uncertainty. as i said before, they must have lost more in theta than they could possibly get in trading the gamma.a...
by daveangel
December 2nd, 2003, 11:51 am
Forum: Technical Forum
Topic: feb-may 2000
Replies: 27
Views: 190227

feb-may 2000

<t>QuoteOriginally posted by: matt007andym,it seems during feb-may 2002, the best thing to do was go short gamma (pref. sell downside puts) - there was small movement in the index. my question was that could (did) some smart people go long gamma and manage to make money out of it by intelligently tr...
by daveangel
December 2nd, 2003, 11:47 am
Forum: Technical Forum
Topic: Convertible Bond Contigent Conversion
Replies: 15
Views: 191833

Convertible Bond Contigent Conversion

JohnnyI wasnt trying to clarify it for you ... sorry if it caused u offence
by daveangel
December 2nd, 2003, 11:20 am
Forum: Technical Forum
Topic: Convertible Bond Contigent Conversion
Replies: 15
Views: 191833

Convertible Bond Contigent Conversion

it reads like the issuer can force conversion ... so if the parity on the CB is 130 say, then the issuer can call it back at 100 .. but if u r a holder u will want to convert to get the stock thats worth 130. hence its a knock out or parisian.
by daveangel
December 2nd, 2003, 9:07 am
Forum: Technical Forum
Topic: dirty price vol and clean price vol
Replies: 6
Views: 189500

dirty price vol and clean price vol

You are right .. apologies
by daveangel
December 2nd, 2003, 8:29 am
Forum: Technical Forum
Topic: dirty price vol and clean price vol
Replies: 6
Views: 189500

dirty price vol and clean price vol

the relationship between clean prices and dirty prices is deterministic .. hence vol must be the same.good luck
by daveangel
December 1st, 2003, 4:06 pm
Forum: Technical Forum
Topic: constructing what tree?
Replies: 1
Views: 189248

constructing what tree?

dan mansounds to me like you are out of your tree !!clean price = dirty price - accrued interest ...you can choose which u want to evolve on your tree, but my guess that its the dirty price u want to deal with then convert back to clean price using the above identity
by daveangel
November 30th, 2003, 5:02 pm
Forum: Technical Forum
Topic: what are the appliaction of jump model
Replies: 13
Views: 189689

what are the appliaction of jump model

<t>there are many reasons why one would want to use a jump+ diffusion model as opposed to a diffusion model. For a start, it is well known that asset returns are not normally distributed and that there are fatter tails. To capture this effect in a single parameter BS model, the implied BS volatility...
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