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4 votes

Use of interest rate swaps in liability-driven investing

Based on a Bloomberg article by Matt Levine, this is how it works: Pension funds have long-term liabilities: say a liability of £100 in 30 years from now. This liability will have a net present value, ...
  • 5,386
0 votes

Local v/s global calibration for a Bermudan Option (calibrate co-terminals vs entire matrix)

Firstly, we should acknowledge the fact that off-diagonal vols should be part of the drivers of the Berm value. Pls refer to the Bible: Andersen and Piterbarg's book. By calibrating the model solely ...
  • 21
2 votes

Bermudan Swaptions

Those are all very deep questions. Bermudan swaptions are very complicated products despite that they are one of the most actively traded rates vol products. Below are a few thoughts from my ...
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