HW Extended Vasicek & Dual Currency

Val · December 4th, 2002, 10:28 pm

Hi all,I'm trying to implement long-dated FX trigger swap, using MC simulation.I would appreciate if you could give me some insights into how to simulate 1) domestic frwd zc bonds, Pd(t,T); 2) foreing frwd zc bonds, Pf(t,T); 3) frwd exchange rate X(t)under the same domectic numeraire.I've got some trubles with the calculation of the drift term for the Pf(t,T).Thanks in advance!!!!

Val · December 8th, 2002, 11:45 pm

Hi all,Tnanks to the following great papers:1) Libor rate models, related derivatives and model calbrationby J. Schoenmakers and B. Coffey, April 6, 1999;2) Numerical Valuation of Cross-Currency Swaps and Swaptionsby Dempster and Hutton, october 24, 1996;3) A multicurrency extension of the lognormal interest rate market modelsby Schlögl E., 1999I've found the solution to my problem.It's quite simple.Thanks to anybody who looked at.

mbacke · August 1st, 2003, 4:38 pm

hi val, am trying to solve the same problem using simulation. could you sendme your code? cheers.

boncoup · August 2nd, 2003, 9:38 am

hi,i'm doing the same thing could send me your code (monte carlo simulation)thanks

sgnihctuH · August 12th, 2005, 1:52 pm

Was it the quanto correction?

ljcao · April 6th, 2006, 7:10 am

Hi, Val:Could you pls. forward the paper titled as 1) Libor rate models, related derivatives and model calbrationby J. Schoenmakers and B. Coffey, April 6, 1999;to me. because I can't get it from my resources.Thanks.

sebimatei · April 9th, 2006, 8:48 pm

here it is: http://www.wias-berlin.de/publications/ ... ts_480.pdf