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 Apr 15 awarded Notable Question Apr 11 awarded Popular Question Sep 16 awarded Popular Question Sep 14 comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$? @Gordon Could you pls comment on "Linear Swap Rate Model"? It seems originate from Philip Hunt and Joanne Kennedy, in their "Financial Derivative in Theory and Practice". I read Antoon Pelsser's "Efficient Methods for Valuing Interest Rate Derivatives" Ch 11.6, used in Ch 11.3.1 to price LIBOR in arrears, and according to Ch 11.1.2, seems also could be used to price other derivatives, for example, the one i'm working on, that all the floating leg LIBOR rates are observed but only paid at the end of the IRS. Sep 14 comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$? @Gordon thanks Gordon, now I understand the tool. Sep 11 comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$? @Gordon May I ask which chapter of Brigo's book is this referring to? "For implementation, certain approximation is needed, for example, to frozen the drift." Sep 11 comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$? @Gordon thank you. After read Ch 6 till $\S 6.3$, I think the third case ($i>k, t \le T_{k-1}$) of this proposition can solve the problem. May I ask what's the next step? Assume the calibration is done (I guess it's discussed in $\S 6.4$), is the next step Monte Carlo as pp 261 said?-- "discretize equations (6.14) between 0 and t with a sufficiently (but not too) small time step Δt, and generate the distributionally-known Gaussian shocks Zt+Δt − Zt." Sep 10 comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$? @Joshi thanks for the recommendation. May I ask which chapter is the result in? Sep 9 comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$? @Gordon are you referring to Ch13.8 The Convexity Adjustment and Applications to CMS . . . . . . . pp 559? Sep 9 asked How to calculate $E^{T_N}(L(T_i, T_{i+1}))$? Aug 3 awarded Popular Question Jun 3 accepted Discount Curve built-up May 31 revised Vanna-Volga Adjustment added 96 characters in body May 31 asked Vanna-Volga Adjustment Apr 23 asked How to calibrate volatility surface for Interest Rate Cap&Floor pricing Apr 23 comment Discount Curve built-up thanks for explanation. So if one opens bloomberg, which curve shall he choose for USD? Apr 23 asked Discount Curve built-up Apr 20 awarded Notable Question Mar 14 awarded Inquisitive Jan 9 awarded Nice Question