Serving the Quantitative Finance Community

 
User avatar
Dunbar
Topic Author
Posts: 0
Joined: April 23rd, 2002, 8:51 am

Interest rate derivatives in K+

June 25th, 2002, 2:18 pm

dear allworking at a risk mgmt dept i am responsible for coaching the introduction of small-scale interest rate derivatives (USD, EUR, PLN caps, floors) operations. we do not envisage buying any new derivatives software and it is my task to set up the new product in Reuters Kondor+, possibly with some Bloomberg (BCCF etc) counterchecks. i will be grateful for any advice on this undertaking, incl. reliable market sources and correct system config. my most urgent need is to set up a vol surface and i wonder if i can rely on K+ calculating fwd vols from quoted flat vols (provided i make it do it in the first place). thank youdunbar