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

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...

We derive the black scholes formula in FX context in a very simple way using measure change techniques. Of course, the final result can be used for all asset classes, though the derivation itself relies heavily on the symmetries prevailing in FX. The idea goes back to a presentation held by Iain...

The Jamshidian swaption formula a.k.a. the Jamshidian trick reduces the pricing of an european swaption to the pricing of a series of zerbond options. This works in a one factor interest rate model in which zerobond prices are monotonic in the state variable. We review the method and write it...

We collect some results in Piterbarg, Interest Rate Modelling, needed for the implementation of a GSR model. We develop explicit formulas for piecewise constant volatility and reversion parameters under the forward measure

It is well known that a plain riskless floater is worth par and has zero interest rate delta immediately before a fixing in a classic one curve setup. We investigate the structure of the delta under credit risk, a first fixing and a margin added to the payoff. We decompose the delta into three...

We compare zero yield and asset swap spreads both being used to specify the credit risk component in bond pricing. We investigate how these both figures are related and how the asset swap spread depends on other pricing factors such as the riskfree yield, all in terms of numerical examples...

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...

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...