For a swap with fixed payments at and accrual fractions , the annuity measure is the equivalent martingale measure for the numeraire , the annuity of One Quant Book 2, chapter 9.
Quantitative Finance · Begrippenlijst
Quantitative Finance · Begrippenlijst
For a swap with fixed payments at and accrual fractions , the annuity measure is the equivalent martingale measure for the numeraire , the annuity of One Quant Book 2, chapter 9.