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The LIBOR market model, also known as the BGM Model (Brace Gatarek Musiela Model, in reference to the names of some of the inventors) is a financial model of interest rates. [1]
Accretion/dilution analysis is a type of M&A financial modelling performed in the pre-deal phase to evaluate the effect of the transaction on shareholder value and to check whether EPS for buying shareholders will increase or decrease post-deal. [2]
In finance, the term asset swap has a particular meaning. [1] When one refers to an asset swap, one has in mind the exchange of the flow of payments from a given security (the asset) for a different set of cash flows. An example of this is where an institution swaps the cash flows on a U.S. Government Bond for LIBOR minus a spread (say 20 basis ...
In finance, the term accretion refers to a positive change in value following a transaction; it is applied in several contexts. When trading in bonds , accretion is the capital gain expected when a bond is bought at a discount to its par value , [ 1 ] given that, it is expected to mature at par .
In finance, a range accrual is a type of derivative product very popular among structured note investors. It is estimated that more than US$160 billion of Range Accrual indexed on interest rates only have been sold to investors between 2004 and 2007. [1] It is one of the most popular non-vanilla financial derivatives. In essence the investor in ...
Note that some analysts will instead construct the curve such that it results in a best-fit "through" the input prices, as opposed to an exact match, using a method such as Nelson-Siegel. Regardless of approach, however, there is a requirement that the curve be arbitrage-free in a second sense: that all forward rates are positive.
A reverse dual-currency note (RDC) is a note which pays a foreign interest rate in the investor's domestic currency. A power reverse dual-currency note ( PRDC ) is a structured product where an investor is seeking a better return and a borrower a lower rate by taking advantage of the interest rate differential between two economies.