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Average rate forwards
Posted: March 14th, 2011, 2:38 pm
by seventwooff
Hi - anyone got any material/advice on how to value an average rate forward - thanks in advance
Average rate forwards
Posted: March 14th, 2011, 3:59 pm
by GoldDigga
If I remember well there's a section in Brigo & Mercurio.
Average rate forwards
Posted: March 25th, 2011, 4:08 pm
by rickynu
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)
Average rate forwards
Posted: August 19th, 2014, 12:33 pm
by xsquare
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!