Timeline for How to understand wedge?
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
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| Nov 29, 2022 at 6:27 | history | edited | dm63 | CC BY-SA 4.0 |
added 322 characters in body
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| Nov 29, 2022 at 1:50 | comment | added | JUW | I like your diagram argument. Now I understand why the product is called as wedge. It seems that you are an HJM/LMM user. lol | |
| Nov 29, 2022 at 1:25 | comment | added | JUW | Thanks for your insights! So can we say that (a) comes from the swaption component and (b) comes from the cap/floor part? And which part plays the dominant role? Also, shall we expect the wedge price should be close to zero? | |
| Nov 29, 2022 at 1:11 | vote | accept | JUW | ||
| Nov 29, 2022 at 0:59 | history | answered | dm63 | CC BY-SA 4.0 |