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You wrote "the quotes I have for the swap don't look like rates". The swaps are quoted in terms of "forward points" which have to be added or subtracted from the spot quotation. So for example if Spot AUD/USD is quoted at 0.7634/39 and six-months swaps are 112.1/111.1 it would mean that the 6 month swap is quoted 7634+112.1 pips i.e. 0.77461 on one side and ...


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The best option would be to bootstrap a curve. But lacking shorter interest rates, this doesn't appear to be possible. Linear interpolation is the next best alternative. Since the BUBOR rates are all annualized, and so long as you're using the portion of the year for the given leg's day count convention, using the given rate (in this case the bootstrapped ...


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Are you sure you don't want just to look at ED futures? For short term swaps they are very easy to use and have listed prices. The convexity adjustment is negligible.


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If you can get access to a professional bloomberg, the code for a 1yr-3yr forward swap in USd versus 3 month libor is USFS013 .Index Go. I dont know any other way.


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There has been a lot of work in recent years on the pricing and hedging of volatility derivatives, leading to some non-obvious, even startling results. It is summarized in Mark Joshi's book More Mathematical Finance among other places. It all started with the work of Anthony Neuberger on the Log Contract in 1994, which seemed to be a theoretical result ...


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A convexity adjustment is often applied to fix the difference between the view of the instrument as it is and if it were based on forward rates. A simple example is the difference between a futures rate and a forward rate. The difference is that the forward pays after the period whereas the futures price has a pnl all the way from the purchase up to ...



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