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Generally it is best to use the rates that best capture how the collateral of the instruments are priced. If the overnight collateral on the instruments is managed using offshore JPY depo, then this would be a good choice.


It appears that you are plotting your analytical delta as a % of the delta of the underlying. This is why the delta converges to 100% As for the numerical delta, it could be that you are not adjusting for the DV01 of the underlying. This would explain why the numerical delta still increases as the option gets more in the money and why the distortion is ...


If I understand correctly the question, you wish to completely hedge the interest rate risk (defined as a parallel shift in the yield curve). If that is the case, you should use modified duration, which is the price sensitivity, rather than the MacAulay duration. They are usually close in value, but not quite the same. Fortunately, you can easily transform ...


I believe the important issue is not how you are going to receive the market data from N different exchanges but how you are going to normalize and generalize them into a single protocol that can be consumed internally by your applications. Take a look on CoralMD that has an article about how to build a market data infrastructure internally. Disclaimer: I ...

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