curve bootstrappingmultiple yield curvesforward curvediscount curvebasis adjustmentquanto adjustmentGiven a forwarding LIBOR-style curve F corresponding to a fixed tenor (e.g. 6m) and an exogenous discounting curve D (e.g. an OIS curve or cross-currency basis swap curve) we build on Bianchetti'...
A Heuristic Pricing and Hedging Framework for Multicurrency Fixed-Income DesksOISmulticurrencycollateralcross‐currency swapsIt is well known that traded foreign... E Giménez,A Elices,G Villani - 《Wilmott》 被引量: 1发表: 2017年 Fixed Income Pricing This chapter surveys the literature on fixed-...
“When you’re asking for one side of that PV [present value] market, you have to calculate how much you’re being charged, what’s the real mid, is the trade PV accurate? It might be in an area of the curve where there’s not a lot of liquidity and granularity and you want to...
5 It also reflects more recent empirical findings, such as Anderson, Hammond, and Ramezani (2010) and Egorov, Haitao, and Ng (2011), that the cross-currency interest rate dynamics can be separated into common factors and local factors. These studies suggested that using a multi-factor state...
Figure 1.1: Cash flows of a Credit Default Swap with physical delivery CDS are quoted in terms of spread (measured in basis points) over an Inter Bank Offered Rate (EURIBOR or LIBOR depending on the currency). Assuming a constant recovery rate R for the underlying obligation, we can eas...
SwapcollateralderivativesLiborcurrencyOISbasisHJMCSACollateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis can be ...
Analysis of variance based instruments for Ornstein-Uhlenbeck type models: Swap and price index. Ann. Financ. 2017, 13, 401–434. [Google Scholar] [CrossRef] SenGupta, I.; Wilson, W.; Nganje, W. Barndorff-Nielsen and Shephard model: Oil hedging with variance swap and option. Math. ...