the collateral at every moment must coincide with value mark-to-market of swap let’s take as a example simple swap with just one cashflow , which pays 100 euros at time T [it has no variable leg] at time T swap’s…
![[<<] PriceDerivatives blog](http://www.pricederivatives.com/en/wp-content/uploads/2014/03/cropped-pricederivatives-blog-logo-Copy3.png){kind=logo}
Category: OTC derivatives valuation
how to caclulate fair value of interest rate swap
how to caclulate fair value of interest rate swap Online Interest Rate Swap Calculator tipical example of interest rate swap contract between A and B: example of swap init date: 1/5/2012 maturity date: 1/5/2014 notional: 1 000 000 Eur payments:…
monte carlo method in finance
whats is monte carlo method in finance? its a numerical method for calculating option’s price. it consist in generating many possible scenarios and calculate average. example – call option suppose Black-Scholes (lognormal) dynamics for underlying stock S. suppose interest rate and…
Posted in OTC derivatives valuation
