An option is a financial instrument that allows the holder to buy or sell an underlying security in the future at an agreed strike or price set today. European options are often priced under the assumption of constant interest rates as seen in the Black-Scholes (1973) model.In interest rate...

Asset swaps provide a form of asset financing, where investors borrow funds to purchase an asset, typically a bond. Asset swaps are also a good bond rich-cheap analysis tool. Such swaps can of course be used for speculative purposes. In this paper we provide a brief overview of asset swaps and...

An option is a financial instrument that allows the holder to buy or sell an underlying security in the future at an agreed strike or price set today. Many options are priced under the assumption of constant interest rates as seen in the Black-Scholes (1973) model. In interest rate markets...

In this paper we discuss the continued transition of financial markets towards trade standardization and the clearing of transactions, outlining the role of central clearing counterparties CCPs in reducing systemic and idiosyncratic risk. We contrast this with a discussion on bespoke non-cleared...

The Black-Scholes (1973) formula is well used for pricing vanilla European options. There are several different variations used by market practitioners dependent on the underlying asset being modelled. In this brief paper we present the generalized Black-Scholes representation, outline it's...

In what follows we outline briefly the Credit Support Annex and how it impacts securities pricing. We then proceed to discuss synthetic forward rate calculation and the FX forward invariance relationship from which we show how to calculate CSA collateral adjusted discount factors using GBP...

Interest rate instruments are typically priced by creating a non-arbitrage replicating portfolio in a risk-neutral framework. Bespoke instruments with timing, quanto and other adjustments often present arbitrage opportunities, particularly in complete markets where the difference can be...

A Tenor Basis Swap, also known as a floating-floating interest rate swap, is a financial instrument whereby floating cashflows from two different interest rates are exchanged, typically floating interest rates determined from benchmark Libor indices of the same currency are exchanged e.g. 3M...

Interest rate swaps are an actively traded product in the financial marketplace and are popular for hedging mortgage and corporate loan exposures against rises in interest rates. Asset swaps on the other hand provide a form of asset financing, where investors borrow funds to purchase an asset,...

In electronic rates markets accuracy and low latency are threshold requirements that can be a barrier to market entry as they are essential to survive and compete. In this paper we outline how to achieve high performance by reducing swap pricing and risk calculations into trivial vector and...