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comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?
@Gordon Could you pls comment on "Linear Swap Rate Model"? It seems originate from Philip Hunt and Joanne Kennedy, in their "Financial Derivative in Theory and Practice". I read Antoon Pelsser's "Efficient Methods for Valuing Interest Rate Derivatives" Ch 11.6, used in Ch 11.3.1 to price LIBOR in arrears, and according to Ch 11.1.2, seems also could be used to price other derivatives, for example, the one i'm working on, that all the floating leg LIBOR rates are observed but only paid at the end of the IRS.
Sep
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comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?
@Gordon thanks Gordon, now I understand the tool.
Sep
11
comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?
@Gordon May I ask which chapter of Brigo's book is this referring to? "For implementation, certain approximation is needed, for example, to frozen the drift."
Sep
11
comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?
@Gordon thank you. After read Ch 6 till $\S 6.3$, I think the third case ($i>k, t \le T_{k-1}$) of this proposition can solve the problem. May I ask what's the next step? Assume the calibration is done (I guess it's discussed in $\S 6.4$), is the next step Monte Carlo as pp 261 said?-- "discretize equations (6.14) between 0 and t with a sufficiently (but not too) small time step Δt, and generate the distributionally-known Gaussian shocks Zt+Δt − Zt."
Sep
10
comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?
@Joshi thanks for the recommendation. May I ask which chapter is the result in?
Sep
9
comment How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?
@Gordon are you referring to Ch13.8 The Convexity Adjustment and Applications to CMS . . . . . . . pp 559?
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asked How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?
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comment Discount Curve built-up
thanks for explanation. So if one opens bloomberg, which curve shall he choose for USD?
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