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 propose a possible approach for pricing interest rate options on underlyings that are not directly quoted in the market due to their non standard tenor. To do so we translate the density given by the smile of the quoted underlying appropriately

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

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