We propose an approach for the dynamical estimation of initial margins. We determine initial margins at future points in time by computing a risk measure of the modelled price increment over a margin period of risk. As an example, we produce the initial margin process for interest rate swap...

Even if the name futures indicates a simple instrument, bond futures are complex. Several special features are embedded in the instrument. In particular the future is not written on one specific bond but on a basket of bonds, from which the short side can deliver the cheapest. This paper focuses...

The importance of overnight rate benchmarks has been increasing in the last years and is expected to increase further in the coming years. They could take over the IBOR-like benchmarks as the most important interest rate benchmarks. In this note we propose a new design for an overnight-linked...

Over the last 10 years, the multi-curve and collateral framework has become the standard for vanilla interest rate derivatives pricing. The static description of the framework, including the curve calibration, is well documented. When going to the dynamic behaviour of the framework, the...

With the increased expectation of some IBORs discontinuation and the increasing regulatory requirements related to benchmarks, a more robust fallback provision for benchmark-linked derivatives is becoming paramount for the interest rate market. Several options for such a fallback have been...

This note is an answer the consultation published by ISDA regarding the amendment of documentation to implement fallbacks for certain key IBORs. The answers refer to many technical issues. More details about those issues can be found in the technical note 'A quant perspective on IBOR fallback...

The pricing of the European cash-settled swaptions is analysed. The standard market formula results are compared to results obtained from different models. Significant discrepancies are observed, justifying the title

The Libor Market Model (LMM) describes the evolution of a yield curve through equations for a discrete set of forward rates. In the original version, the rate dynamic was log-normal. The rate dynamic has been extended. The main result presented here is a generic approximation that provides an...

Constant maturity swaps (CMS), CMS spreads and similar products are analyzed in multi-factor HJM models. For Gaussian models, which include some Libor Market Models and the G2 model, explicit approximated formula are provided. The approximations are done through two different approaches: an...

Libor derivative pricing has changed with the crisis; Libor is no longer one unambiguous curve as a large basis has appeared between different Libor tenors. A previous approach to derivative discounting is reviewed in the light of those changes. The valuation of so-called linear derivatives, the...