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Quantitative Finance
BerndSchmitz's user avatar
BerndSchmitz's user avatar
BerndSchmitz's user avatar
BerndSchmitz
  • Member for 1 year, 4 months
  • Last seen more than a month ago
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3
Which expiry interpolation method for caplet/floorlet surfaces?
Apr 25, 2023
answer
2
Cap/Floor ATM Rate
Apr 25, 2023
question
1
Apply monotone convex interpolation to swap rate input data
Aug 24, 2023
answer
0
end-of-month or not for plain vanilla interest rate swap
Mar 19