Interest-Rate Products

Giovanni Cesari (), John Aquilina (), Niels Charpillon (), Zlatko Filipović (), Gordon Lee () and Ion Manda ()
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Giovanni Cesari: UBS AG
John Aquilina: UBS AG
Niels Charpillon: UBS AG
Zlatko Filipović: UBS AG
Gordon Lee: UBS AG
Ion Manda: UBS AG

Chapter Chapter 8 in Modelling, Pricing, and Hedging Counterparty Credit Exposure, 2009, pp 149-157 from Springer

Abstract: Abstract In Chap. 4 and 5 we described a generic valuation framework which takes into account the possibility of transactions having early exercise features. In the notation that we introduced there, we represent by T={τ 1,τ 2,…,τ n }∪{∞} the set of times at which the holder of the option may opt to replace the no-exercise portfolio P with time-t value $V_{t}^{P}$ , with a different portfolio Q with time-t value $V_{t}^{Q}$ ({∞}=T ∞ indicates no-exercise). The goal of this and of the next chapters is to compute counterparty credit exposure for different types of transactions.

Keywords: Interest Rate; Swap Rate; Libor Rate; Exposure Computation; Average Presence (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-04454-0_8

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DOI: 10.1007/978-3-642-04454-0_8

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