As mentioned in earlier question, I am a math student, who attained a course in interest rate theory. However I have some question how these things actually work in reality. So assume we are working ...
For a project, I am interested to model the impact of recently negative interest bonds on the portfolio. From this point of view, the literature I have found is limited. I am asking for some ...
Is it true that pricing an IR swap doesn't require any stochastic model but calculation of the PFE of an IR swap would?
Pricing an IR swap doesn't require any stochastic model but calculation of the PFE for an IR swap would require the Hull White Model or any other stochastic short rate or forward rate model. Is ...
Suppose I want to compute the time value of money (present value, future value, etc). I need to put an interest rate into the calculation. Which real world interest rate would best be used here, ...
I'm trying to wrap my head around pricing a Constant Maturity Swap (CMS). Let's imagine the following deal: 6m LIBOR in one direction, 10y swap rate in the other. The discount curve is derived from ...