Recent content by Emanem

Hi, one last question then. Even in case of a simple FRA, in order to determine the FWD rate (i.e. in a FRA that starts in 2 months and latsts for 1 month), we should apply the same kind of Convexity Adjustment. Am I right? Then we don't do it because maybe is so negligible, but in theory we...

THANKS I get it finally... after some years I was wrongly assuming that with zero curve we could easily get the fwd rate without worrying about anything. I was basically missing the second part of point (3). But, as you said, as seen as the 1 year 2yrs FWD rate should be adjusted because (in...

Hi, after reading the paper (well done btw) I understand even the why. So probably I should formulate this thread/question in another terms: apparently my knowledge of zero curve is wrong! :-P When we do build a yield curve (zero curve), we should be able to: 1) Get value of at par swaps...

Hi Maciek, thanks for your answer; I'll look at the paper as soon as I have some time. Still related to my example, could you please motivate why in the two CMS example legs we would need conv adj? Thanks again, Cheers! :-)

Hi all. My question is, why do we need convexity adjustment when we need to determine the FWR for a CMS shaped leg? I've read both Hull and Brigo/Mercurio; the mathematical explanation is ok, but I really don't understand why. The how is ok (and I don't even care that much - ie not a...

Hi, I've used Ubuntu for the last 4 years and actually it's really good for me. Keep in mind I'm not a quant (more a comp. scientist :P - hehehe broad term). Still, with help of my quant friend I implemented a montecarlo multiasset exotic GPU pricer with GLSlang (no CUDA neither OpenCL, but old...