A Simplified Method for Pricing Interest Rate Swaps and Swaptions: Collected Swap Pricing Articles of David Smith

ISBN-13: 9781535369442 / Angielski / Miękka / 2016 / 44 str.

MR David Roy Smith

Opis

This book is a collection of three articles written by David Smith on interest rate swap and swaption pricing. It is a simplified approach that uses the bootstrap method to derive a zero coupon curve. For the swap option pricing a basic Black Commodity model is used. Useful for educational and training purposes for beginners to the field. Practical examples are provided