Serving the Quantitative Finance Community
Structured Products Valuation
Hi I am trying to value some structured products that a few of my clients are being offered by banksThey offer a discounted rate of let's say 3.50% during all the time of the loan if the difference CMSEUR10-CMSEUR02 > 0else the rate becomes the formula 5%-5*(CMSEUR10-CMSEUR02)I was wondering how I could value this type of product. I am looking for all type of methods so feel free to brainstormthanks a lotPaul
Structured Products Valuation
-Black model without smile-BGM-Black model with smile-BGM with smile