Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
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References listed on IDEAS
- Uri Ron, 2000. "A Practical Guide to Swap Curve Construction," Staff Working Papers 00-17, Bank of Canada.
- Henrard, Marc, 2007. "The irony in the derivatives discounting," MPRA Paper 3115, University Library of Munich, Germany.
- Leif Andersen, 2007. "Discount curve construction with tension splines," Review of Derivatives Research, Springer, vol. 10(3), pages 227-267, December.
- Patrick Hagan & Graeme West, 2006. "Interpolation Methods for Curve Construction," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(2), pages 89-129.
More about this item
Keywordsliquidity; crisis; counterparty risk; yield curve; forward curve; discount curve; pricing; hedging; interest rate derivatives; FRAs; swaps; basis swaps; caps; floors; swaptions; basis adjustment; quanto adjustment; measure changes; no arbitrage; QuantLib;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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