Hot answers tagged floating-rate
Good leveraged loan tutorials are few and far between. I've looked far and wide, and the best I ever found was a leveraged loan handbook published by citigroup (by William Deitrick) in 2006 which is free for clients. Citi and Barclays also have two decent (but very different) bank loan models. For Citi, search for Terry Benzschawel. For Barclays, look in ...
A condition for correct calibration of the short rate model is that it exactly reproduce the present values of fixed (option-free) cashflows - that is, that it give the same answer as ordinary discounting at the spot rate. If it doesn't, you've done something wrong - sort of like using a model that violates put-call parity. (Actually, it's exactly like ...
I read this dealbreaker post (via a link from Deus Ex Macchiato), which explains that many (most?) contracts detail something like 'the number on the Libor01 Reuters page' rather than 'the rate published by the BBA as the 3m LIBOR'. So, as Levine argues, if the BBA rephrase Libor as something else, even a trade-driven value, many of those agreements would ...
I assume that rate derivatives refers to a given underlying libor index that is published by either BBA, EBF or so and that than no counterparty can deny its liability wrt the contract. As such contracts are still valid between the counterparties eventhough one counterparty can suite the responsible of the fraud itself.
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