The price is wrong
Source: Risk magazine | 05 Mar 2010
Categories: Derivatives
Topics: Libor, Cover story, Net present value, Collateral, Price discovery, OIS discounting, Credit support annex (CSA), Overnight indexed swap (OIS)
Source: Risk magazine | 05 Mar 2010
Categories: Derivatives
Topics: Libor, Cover story, Net present value, Collateral, Price discovery, OIS discounting, Credit support annex (CSA), Overnight indexed swap (OIS)
The turmoil in financial markets over the past two-and-a-half years has led dealers to rethink the way they price trillions of dollars worth of derivatives....
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