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Presentation . 2022
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Other literature type . 2022
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License: CC BY
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Callable Range Accrual Digital Adjustments

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 14 May 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.6549248 , 10.5281/zenodo.6549247

Callable Range Accrual Digital Adjustments

Abstract

We use a single factor linear Gaussian model (LGM) to price callable range accrual swaps (for both the fixed and floating coupon variants), and additional adjustments required to capture the implied volatility smile observed in the market. The single factor LGM is equivalent to a single factor Hull-White model.

https://osf.io/preprints/inarxiv/f98aq/download

Keywords

Callable Range Accrual Swap, Digital Adjustments

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
views
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