Quantlab - Valuation of Cross Currency Interest Rate Swap
Автор: Quantlab
Загружено: 2018-02-20
Просмотров: 9167
Описание: A short tutorial on valuation of the cross currency interest rate swap. Here exemplified using a EUR/SEK fixed/float 10Y swap. We extract 3M forward curves using dual bootstrap and OIS discounting, as well as extract the implied EUR discounting curve from the FX-swaps and FX-basis swap rates.
Повторяем попытку...
Доступные форматы для скачивания:
Скачать видео
-
Информация по загрузке: