EMMI (European Money Market Institute) is working on "new" interest rates for EU area.
By the end of 2019 Euribor will become "hybrid" and Ester will replace Eonia.
This reform will define new benchmarks for risk-free rate EUR.
Can you figure out the impacts on quantitative finance?
I am searching formulas and examples about shifted lognormal digital caplets (à la Black'76) for IR options.Also the sensitivity formulas (delta, gamma, vega, theta and rho).In internet I was not able to find any material.Can you suggest a good book/paper on this topic?Cheers,Jordy
<t>It might be a structured payoff based on european options.For instance, an option call "up and in" european (and with european barrier) can be decomposed as:- a plain vanilla european call option with strike equal to the barrier, and- a binary european cash or nothing call option, with strike equ...
Even if you assume both systems use the same model Black Scholes (Garman Kohlhagen), the two implementations may be slightly different.For large notionals, also these differences may impact on the MTM gap.Cheers,Jordy
On some systems they bootstrap at (T+2).After doing that, they use Overnight and TomNext rates to compute a discount factor (pre-spot factor) to fill the gap between (T+2) and today.The resulting discount factors are at today.Cheers,Jordy.
<t>We are asked to compute the fair value of structured interest rate swaps.One leg is plain vanilla (euribor 3m + spread), but the other leg is bound to a BTPei (i.e. a bond linked to index HICP XT - european inflation index).Can you please suggest a good book (or paper) dealing with this kind of i...