Average rate forwards

seventwooff · March 14th, 2011, 2:38 pm

Hi - anyone got any material/advice on how to value an average rate forward - thanks in advance

GoldDigga · March 14th, 2011, 3:59 pm

If I remember well there's a section in Brigo & Mercurio.

rickynu · March 25th, 2011, 4:08 pm

start by projecting your forward rates, compute each "fixing", and calculate the average per the contract. keep in mind, that depending upon how the contract is written, there may be a volatility component which contributes to the price, related to :1/avg(p1, p2,......pn) <> avg(1/p1, 1/p2,......1/pn)

xsquare · August 19th, 2014, 12:33 pm

Hi,I am interested in the pricing of average rate forwards. I found this topic and was wondering if anyone got any material on the topic?Thanks for your help!