Page 2 of 2
Fitting CMS reuters page CMS01
Posted: February 8th, 2006, 11:08 am
by cfornarola
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
Fitting CMS reuters page CMS01
Posted: February 8th, 2006, 11:14 am
by sam
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,
Fitting CMS reuters page CMS01
Posted: February 8th, 2006, 3:46 pm
by Peppe
Chiara, type SMKR <go>. It should be fee based
Fitting CMS reuters page CMS01
Posted: February 8th, 2006, 4:41 pm
by cfornarola
THXI've already contacted the sale person.I've also seen CG web site having some analytics report on the sswaption skew..
Fitting CMS reuters page CMS01
Posted: February 11th, 2006, 7:39 am
by germoz
A question why cap floor skew is free while swaption skew is not free?
Fitting CMS reuters page CMS01
Posted: February 13th, 2006, 3:37 pm
by jimmy
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.
Fitting CMS reuters page CMS01
Posted: February 14th, 2006, 5:48 am
by germoz
thanks for your answer...
Fitting CMS reuters page CMS01
Posted: February 24th, 2006, 2:33 pm
by Diskiss
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.
Fitting CMS reuters page CMS01
Posted: February 27th, 2006, 5:45 am
by germoz
I agree, I always use VCAP3 it works perfectly