Swap spread model for Japan

lancingknight · November 15th, 2005, 7:04 am

Anyone knows good model to price swap spread especially for Japan? TIA

jfl · November 15th, 2005, 11:59 am

What kind of swap ? What type of fx deal (Quanto/ADR). There is nothing special about Japan except a) the interest rate and (if equity swap) b) the approach to consistent equity dividends ? Neither of these two things affect the pricing output, but they do need understanding for the pricing input.

lancingknight · November 18th, 2005, 3:10 am

Yen Swap - JGB