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Yes I guess in theory they should be the same value, but only because in practise there is no arbitrage between the 2 approaches presuming you end up with the same instrument. I guess you mean that. getting a EUR net present value from USD curves adjusted for EURUSD basis is perhaps 1 way of calculating interest rate differentials. Presumably it gives a ...


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This is a non standard instrument. In most cases maturity date = settlement date otherwise, yes, you get this 1 month of interest between the forward maturity date used for the interest rate calculations to get the price of the forward, and thus the cash amounts required for settlement. Then you get 1 month waiting to settle those cash amounts. So there's ...


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Fubini's theorem is only used to reverse the order of integration. We have: $\int_{-\infty}^{\infty}{e^{i\nu k} \left( C \int_k^{\infty} \left( e^x - e^k \right) q(x) dx \right) dk} = \int_{-\infty}^{\infty}{\int_k^{\infty}{C e^{i\nu k} \left( e^x - e^k \right) q(x) dx} dk} $ Now, let $f(x, k) = C e^{i\nu k} \left( e^x - e^k \right) q(x)$, ...


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You wrote: outright price -80.4318/80.4610 this is the quote in the spot market. With 80.4610 rubles you can buy 1 USD and with 1 USD you can buy 80.4318 rubles Fwd points 3M - 19650/19950 this is for the forward contract (to receive/pay rubles in 3 months time). These are "points", that have to be added or subtracted from the spot rate to get the actual ...


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I assume that this decomposition is possible in the case of a variance swap as variance is decomposable in the sense that $$ V = VAR(R_1+ \cdots + R_N) \approx \frac1N \sum_{i=1}^N R_i^2 . $$ This for any $n \le N$ we can write $$ V \approx \frac1N \sum_{i=1}^n R_i^2 + \frac1N \sum_{i=n+1}^N R_i^2 = \frac n N \frac1n \sum_{i=1}^n R_i^2 + \frac{N-n}{N} ...



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