Category: Fixed Income

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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VBA and Quant finance This article is actually a first part of an introductory course to VBA coding, given at Solvay School of Economics in Feb. 2014. The Excel…
Read more...When comparing to other vanilla derivatives, Cap and Floor pricing offers an additional complexity, as it does not involve a single volatility number. Indeed a Cap/Floor can be…
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In a previous post we discussed the new paradigm of Swap pricing throughout the use of collateralization. We now propose a simple VBA code to price a Cross-Currency…
Read more...I had to perform some research on bond curves fitting methods recently, thus looking for a decent library to do some bond pricing (vanilla stuff: fixed coupon bonds …), and calibrate…
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Second part of our journey in the new Swap Curve construction framework. Tenor-Based Pricing Libor Fragmentation In the middle of the crisis we have seen a crucial change…
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Pretty much like in any Popperian scheme of trial and error, the Interest Rate Swap market has come to a new stage of its history. Since the theatric…
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According to Stoic philosophy, ataraxia is the state of complete absence of trouble, where the sage becomes insensitive to any trouble and by extension to the volatility of…
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