Fact Sheet: Interest Rate Derivatives in RIO - ScanRate

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Fact Sheet Interest Rate Derivatives in RIO.PDF (505,96kB)

Published: 01-10-2009

Description:

Interest rate derivatives in RIO using different models:

Using only the zero coupon yield curve (rw_PVSwap)
Using 1 factor term structure models (rw_TSSwap)
Using Black76 (rw_BLSwap)
Using LIBOR Market Models (rw_LMSwap)

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Articles RIO 4.4

Articles RIO 4.3

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