贴现与质押一致

ERN: Econometric Studies of Derivatives Markets (Topic) Pub Date : 2012-06-14 DOI:10.2139/ssrn.2084452

Messaoud Chibane, Yi-Chen Huang, JayaPrakash Selvaraj

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引用次数: 1

摘要

在本文中，我们研究了抵押对衍生品价格的影响。我们建立了一个完整的贴现框架，从香草掉期定价到单一货币的奇异期权定价。我们展示了如何从OIS和IR香草掉期市场中提取初始贴现和预测曲线。我们将考虑扩展到以交易计价货币以外的货币担保的情况。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Discounting Consistently with Collateral Posting

In this paper we investigate the impact of collateral posting on derivative prices. We build a complete discounting framework from vanilla swap pricing to single currency exotic option pricing. We show how to extract initial discount and forecast curves from the market of OIS and IR Vanilla swaps. We extend our considerations to the case of collateralisation in a currency other than the transaction denomination currency.

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ERN: Econometric Studies of Derivatives Markets (Topic)

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