# Tagged Questions

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1k views

### How to calculate a forward-starting swap with forward equations?

I have been trying to resolve this problem for some time but I cannot get the correct answer. The problem is the following one. Compute the initial value of a forward-starting swap that begins at ...
798 views

### How can an FRA create arbitrage opportunities?

I'm working through Options, Futures and Other Derivatives (beginner trying to understand investment banking). I've more or less followed the discussion of interest rates, forward rates and forward ...
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### Replicate by Arbitrage price of a forward

Given market(Mid): 1- USD Swap market (fixed for float). Float leg pays 3MLibor quarterly, act360. Fixed Leg pays annually, act360. Market is trading mid at 1.125%. 2- TIIE market. Fixed for ...
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### Implied term structure from risky discount curve: does it make sense?

We know that, taken every discount curve, it's possible to calculate its forward rates according to our tenor preferences. We know also that it's actually possible to extract an implied term ...
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### compute time from FX forward, how use DEPO rates?

assume I have following delta-term vol data from broker: ...
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### Calculating the CVA of a Forward Contract

I am having trouble calculating the CVA of a forward contract. The question is presented below Question: There exists a long forwards position underlying on gold with 2 years remaining. The ...
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### How to calculate this swap rate

What is the 2x5 swap rate? here 2x5 swap rate refers to the 3-year swap, 2 years forward.
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### FRA-Strategy: Make 3-month and 1-year Excess returns comparable

I am trying to analyze an investment strategy that tries to exploit the empirical difference between forward interest rates and realized spot rates. I am using FRAs to capture the difference. I am ...
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### EUR/PLN and EUR/USD delta-term-vol surface quoting convension

does anyone know for sure what is the FX market convension to quote delta-term pairs for EUR/PLN, for EUR/USD. I know that for EUR/PLN it should be delta p.a forward, for EUR/USD it should be delta ...
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### How should I use central banks rates in order to compute 2-day forward exchange rate on EURUSD

Good morning, I would like to compute a 2-day forward exchange rate on EURUSD. For that, I have historical data on EURUSD spot price, and I know that theoretically, when maturity is T we have : $F_0$...
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I have a beginner question in credit quantitative modelling. I would like to know how we can derive forward credit spread curve, i.e the counterparty of forward yield curves. Indeed, for deriving a ...
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### forward curve and cap/floors in nowadays environment

I'm currently trying to get the implied volatility of a vanilla Euro floor with maturity 1Y with data from bloom. I have the price ( which is not supposed to take into account the first floorlet ...
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### What is the main point in the Forward contracts definition?

In Islamic Finance there is a contract called "Salaf" or "Salam" which is similar to Forwards except in time of payment which happens in the entering contract day (exactly unlike the Forwards). Some ...
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### Bond pricing with HJM simulation

I'm using Glasserman 3.16 and 3.17 algorithm to price bonds. The algorithms evaluates the forward rates and the discount factor $B(0,t_j)$. My question is: How can I price bonds in a future time? I ...
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### How to fit model implied forward curve with market forward curve for Ornstein-Uhlebeck?

I have a spread option model of 2 correlated Ornstein-Uhlenbeck commodity prices that I estimate the parameters of with Maximum Likelihood. What is the formula for introducing the additional ...