Fitting CMS reuters page CMS01

cfornarola · February 8th, 2006, 11:08 am

Hi peppe could you please tell me which is the page on BBG to see tullett&tokio SwapMarker Plus (Swaption skews and Cap/Floor Surf Vol)? Do you need to be authorized to view these pages?thxChiara

sam · February 8th, 2006, 11:14 am

Does anyone understand why there is a 1/q in numerator for the middle line of equation 2.9??I understand why the R_{s}(t) is divided by q (compounding freq) but do not understand why this again needs to be adjusted by 1/q.What am I missing?Thanks,

Peppe · February 8th, 2006, 3:46 pm

Chiara, type SMKR <go>. It should be fee based

cfornarola · February 8th, 2006, 4:41 pm

THXI've already contacted the sale person.I've also seen CG web site having some analytics report on the sswaption skew..

germoz · February 11th, 2006, 7:39 am

A question why cap floor skew is free while swaption skew is not free?

jimmy · February 13th, 2006, 3:37 pm

may be because there is more direct useful information on swaption skew as there are single options than there is with caps&floors as there are a strip of options. Indeed, cap&floor vol+skew can only be used as such to compute the upfront value of the current cap&floors not for further analysis.

germoz · February 14th, 2006, 5:48 am

thanks for your answer...

Diskiss · February 24th, 2006, 2:33 pm

Because CF skew is liquid and swaption skew is not. For CF skew VCAP3 Reuters page is a market reference. Swaption skew is not largely contributed and depends on the model you use to determine it.

germoz · February 27th, 2006, 5:45 am

I agree, I always use VCAP3 it works perfectly