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ECONIS (ZBW)
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Matching the Bloomberg Curve S45 with QuantLib
Caspers, Peter
-
2020
In this short note we summarise one of the results achieved in a project conducted by SoftSolutions! with the goal of aligning some of the bond analytics result in their system nexRates with those that are produced in Bloomberg. By adding a global bootstrapper to the QuantLib library we are able...
Persistent link: https://www.econbiz.de/10012829499
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2
Daily Spread Curves and Ester
Caspers, Peter
-
2019
In this short note, we describe a simple yet accurate way to set up a rate curve defined by daily forward rates that are computed as a spread over the daily forward rates of a reference rate curve. One current use case of interest is to build an Ester curve from an Eonia curve using the...
Persistent link: https://www.econbiz.de/10012858086
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3
Initial Margin Forecast - Bermudan Swaption Methodology and Case Study
Caspers, Peter
-
2018
The introduction of mandatory margining for non-cleared portfolios has major implications for the pricing and risk measurement of OTC derivatives. In particular, it requires a model for estimating future initial margin to determine pricing adjustments and counterparty credit exposures. Recent...
Persistent link: https://www.econbiz.de/10012926291
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4
Johnson Smiles
Caspers, Peter
-
2018
We propose to use the transformed densities introduced in [1] to parametrise volatility smiles. We derive closed form formulas for European options to allow for an effective computation of implied volatilities
Persistent link: https://www.econbiz.de/10012928350
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5
Extracting Call Probabilities from Pricing Models
Caspers, Peter
-
2018
We demonstrate the strong dependency of call probabilities on the pricing measure taking the example of an european swaption in a Hull White one factor model under diff erent T forward measures. As a remedy we suggest a defi nition that makes these probabilities well defi ned and unique
Persistent link: https://www.econbiz.de/10012938486
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6
Farmer's CMS Spread Option Formula for Negative Rates
Caspers, Peter
-
2018
Persistent link: https://www.econbiz.de/10012936787
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7
Forecasting Initial Margin Requirements - A Model Evaluation
Caspers, Peter
-
2017
The introduction of mandatory margining for non-cleared portfolios has major implications for the pricing and risk measurement of OTC derivatives. In particular, a model for estimating future initial margin requirements is necessary to enable the calculation of pricing adjustments (MVA), net...
Persistent link: https://www.econbiz.de/10012963886
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8
Libor Timing Adjustments
Caspers, Peter
-
2015
We derive a closed form expression for the convexity adjustment to be applied to a Libor coupon with non natural payment time. The model is a two dimensional lognormal model for the Libor rate and a forward rate naturally associated to this rate and the payment time of the coupon. In particular...
Persistent link: https://www.econbiz.de/10013036316
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9
Fast Approximate Pricing for FX Target Redemption Forwards
Caspers, Peter
-
2015
We use the ideas of American Monte Carlo methods to develop a fast approximate pricing of FX target redemption forwards. One possible application for this are XVA simulations. We give numerical examples using the QuantLib pricing library
Persistent link: https://www.econbiz.de/10013022635
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10
Implementation of the ZABR Model
Caspers, Peter
-
2015
This is mainly a repeat of Andreasen, Huge, ZABR -- Expansions for the Masses (2011), inserting some more intermediate steps in the calculations and a test of the numerical examples in the original paper against our own implementation in QuantLib
Persistent link: https://www.econbiz.de/10013011784
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