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…
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…
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:…
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…