Search Results - subject:"quanto adjustment"

Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008

include a quanto adjustment typical of cross-currency derivatives, naturally originated by the change between the numeraires … the forward basis and the quanto adjustment find a natural financial explanation in terms of counterparty risk. …

Persistent link: https://www.econbiz.de/10008457180

Notes on convexity and quanto adjustments for interest rates and related options

Boenkost, Wolfram; Schmidt, Wolfgang M. - 2003

We collect simple and pragmatic exact formulae for the convexity adjustment of irregular interest rate cash flows as Libor-in-arrears or payments of a swap rate (CMS rate) at an irregular date. The results are compared with the results of an approximative approach available in the popular...

Persistent link: https://www.econbiz.de/10010298886

Notes on convexity and quanto adjustments for interest rates and related options

Boenkost, Wolfram; Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2003

Persistent link: https://www.econbiz.de/10005026990