January 2016

Cross Asset / Derivatives / Financial / Regulation

More in depth into Credit Support Annex (CSA)

As we already discussed, financial institutions use more and more Credit Support Annex (CSA) to protect themselves against a potential default of their counterparties and more generally to…

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Computation / Derivatives / Financial / Fixed Income / VBA

object oriented VBA swaption pricing – part 2

As 2016 started, we wish you and your family a great year ahead. Happy New Year! This post is a continuation of our discussion on swap and VBA swaption pricing, and a conclusion…

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