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For a swap, we have a sequence of re-setting and payment dates. The # of forward rates corresponding to the # of payment dates. For example, let us assume that we have $n$ payment dates $t_1, \ldots, t_n$, where $0< t_1 < \cdots < t_n$. Then there are $n$ forward rates. During the simulation, for time steps prior to $t_1$, there exist $n$ ...


There are two things that might be confusing you. The time step in Time dimensions and time steps along the forward curve. The first is given a time t from today until a certain day in the future, this dt usually is the next reset date. The the other is tau representing a tenor for the forward curve maturing in tau days ahead. Dtau could vary ...

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