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This list may not reflect recent changes. Swap (finance) A. Accreting swap; Accretion (finance) ... Value date; Variance swap;
The forward values of the overnight rate can be read from the overnight index swap curve. "OIS-discounting" is now standard, and is sometimes, referred to as "CSA-discounting". See: Financial economics § Derivative pricing for context; Interest rate swap § Valuation and pricing for the math.
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 .
For example, the hedge would have to pay swaps in the foreign currency. If FX spot moves in a correlated fashion with the foreign currency swap rate (that is, foreign currency swap rate increases as FX spot increases), the hedger would need to pay a higher swap rate as FX spot goes up, and receive a lower swap rate as FX spot goes down.
Fixed-Income Relative-Value Investing (FI-RV) is a hedge fund investment strategy made popular by the failed hedge fund Long-Term Capital Management.FI-RV Investors most commonly exploit interest-rate anomalies in the large, liquid markets of North America, Europe and the Pacific Rim.
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]
Binomial Lattice for equity, with CRR formulae Tree for an bond option returning the OAS (black vs red): the short rate is the top value; the development of the bond value shows pull-to-par clearly In quantitative finance , a lattice model [ 1 ] is a numerical approach to the valuation of derivatives in situations requiring a discrete time model.