The attachment contains a toy RFR (e.g. SOFR, ESTR) )curve calibrator and a Libor-type pricer. It is called a toy because the day count convention and effective/settlement date are not… The quoting convention of the swaption volatility is annualized normal vol under annuity measure. Here, normal is contrary to log-normal. It is also called Black’s (vs Balck-Scholes) or Bachelier’s model…. Suppose . Let be the discount factor discounting 1 dollar paid at to time . Let be the floating rate reset date of the floating leg in a swap. For… Feynman-Kac formula connects the solution to a SDE to the solution of a PDE. For example, the Black-Scholes formula is an application of Feynman-Kac. Let satisfies the following SDE driven… International Swaps and Derivatives Association (ISDA) regulates the variation and initial margin (IM) and standardized it in a model called Standard Initial Margin Model(SIMM). By far, there are 9 posts… Derivation of Put-Call Parity for American options. Let a stock follow a Geometric Brownian motion with constant . Let European Asian call option has the payoff and European vanilla call option has the… When our study group read John Hull’s Options, Futures, and Other Derivatives 10th Edition book section 3.4 Cross Hedging, the hedging ratio was given directly in (3.1). We filled in… When our study group read John Hull’s Options, Futures, and Other Derivatives book section 4.10 Duration, there was a sentence that is not very intuitive: There is a negative relationship between… The derivation of the Black-Scholes-Merton formula is very clearly organized in section 4.5 of Shreve’s Stochastic Calculus for Finance II Continuous-Time Models. It is the most intuitive and clearest way that the…Toy interest rate curve calibrator
Black’s Model for Swaption
Interest Rates Basic
Feynman-Kac Formula
SIMM
European and American Put-Call Parity
European call option v.s. Asian call option
Cross Hedging
Bond Yield v.s. Bond Price
Derivation of Black-Scholes-Merton Formula
A Quantitative Finance Website