I am implementing a program in Java that needs the Bank of England base rate. Rather than the user inputting this into the system, I have heard that there is a way to get a live feed of the base rate ...
Which risk-free rate to use to price a bond issued in one currency but convertible into equity in another?
A convertible bond denominated in USD is issued by an Indian company (with equity traded in INR). The bond will be repaid in USD and if converted into equity in the company, the conversion price will ...
So this is a "work homework" question. As part of my job they are sending us through sort of a training course. I'm looking for advice, or a link to a site that explains how to do this with maybe some ...
What is an efficient method of pricing callable range accruals on rate spreads? As an example: A cancellable 30 year swap which pays 6M Libor every 6M multiplied by the number of days the spread of ...
Libor Market Model (LMM) models the interest rate market by simulating a set of simply compounded, non-overlapping Libor rates which reset and mature on predefined dates. How do I obtain from them a ...
The model assumption of the Black-Scholes formula has two parameters for the geometric Brownian motion, the volatility $\sigma$ and the expected growth $\mu$ (which disappears in the option formulae). ...