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Fact Sheet: LIBOR Market Models
Download:
LIBOR Market FactSheet.pdf (323,68kB)
Published:
21-01-2010
Description:
Price Danish floating rate mortgage bonds including capped floaters and callable CMS ratchet floaters.
Supports stochastic amortization, interestonly periods, call option at 105, non standard amortization periods, fixing to an average of multiple CIBOR rates, coupon rounding.
Import known coupons or known fixing rates from the RIO database. Future fixing rates are calculated by the selected interest rate model.
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