Pricing Currency Swaps with different Collateral Currencies in Excel. The GBP SONIA vs USD SOFR case
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Yield Curve Building in Excel with Central Bank Meeting Dates and STIR OIS Trading Arbitrage Opportunities: The GBP Sonia case
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1y ago
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Using the Bootstrapped Market SOFR Caplet Normal Vol Surface to Price in Excel Interest Rate Caps/Floors on Backward/Forward Looking SOFR Term Rates
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1y ago
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Pricing FX Options in Excel using Risk Reversal and Butterfly Market Quotes. The USD / Indian Rupee Case
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1y ago
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Sonia OIS Relative Carry and Roll-Down in Excel. Has Bloomberg got it Wrong?
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1y ago
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Bootstrapping in Excel a Yield Curve to perfectly fit Bloomberg Price/Yield Quotes of US Treasury Bills, Notes and Bonds
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1y ago
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Overnight Index Swap (OIS): Observation Lags, Lookbacks, Rate Cutoffs and step-by-step Prising in Excel
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1y ago
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Libor Transition Impact on Portfolio Pricing: A Comparative Study with and without the published Bloomberg Spread Adjustments
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2y ago
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Pricing and Risk Management in Excel of Inhomogeneous Trading Book containing Different Types of USD Interest Rate Swaps
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2y ago
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Libor Cessation: Price and Risk of existing Vanilla Interest Rate Swaps by applying the ISDA Fallback Protocol
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2y ago
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