Modern Computational Finance by Savine Antoine;Andreasen Jesper; & Jesper Andreasen

Author:Savine, Antoine;Andreasen, Jesper; & Jesper Andreasen [Savine, Antoine & Andreasen, Jesper]
Language: eng
Format: epub
Publisher: John Wiley & Sons, Incorporated
Published: 2021-10-18T00:00:00+00:00

Once we have Libors, we can also develop and in exactly the same way we developed annuities when we had discounts.

13.10 SCRIPTS FOR SWAPS AND OPTIONS

That closes our discussion of support for rates. We have all the pieces we need for scripting a receiver swap:

start: STARTDATE

end: ENDDATE

freq: FLFREQ

fixing: start‐2b swap pays

‐libor( StartPeriod, EndPeriod, FLBASIS, FLIDX)

* cvg( StartPeriod, EndPeriod, FLBASIS)

on EndPeriod

start: STARTDATE

end: ENDDATE

freq: FIXFREQ

fixing: start‐2b swap pays

CPN * cvg( StartPeriod, EndPeriod, FLBASIS)

on EndPeriod

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