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Results tagged with quote
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user 29443
1
vote
Accepted
Linear interpolation Discount factors
I don't recommend linear interpolation of DFs and the swap rates you are applying this to are either against 12M libor which is illiquid or you are not accounting for Quarterly or Semi-Annual floating …
- 12.1k
2
votes
Accepted
Competitive quote convention for FX swaps
For an FX swap the sensitivity of the PV of a transaction has small exposure to the spot FX rate, which is often mitigated by transactions conventions. The dominant risk quantity to which you are expo …
- 12.1k