Ngày tải lên :
15/03/2014, 07:20
... on forward rates Fh To obtain a closed equation of type i i dSa,b,c,d (t) = Sa,b,c,d (t)va,b,c,d (t) dZa,b,c,d (t), (23) we equate the instantaneous quadratic variations of (22) and (23) b i ... spot-starting swaps is that their net present value must be equal to zero Remark As traditionally done in any bootstrapping algorithm, equation (8) can be used to infer the expected rates Li implied ... proportional to Q(T1 , T2 )) is low compared to the value implied by the spot quantities Q(0, T1 ) and Q(0, T2 ).8 Even though the quantities Q(T1 , T2 ) and Q(0, Ti ), i = 1, 2, refer to different default...