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Quantitative Finance · Glossaire

Qu'est-ce que « Linear terminal swap-rate model » ?

Definition 6.6 Rates, Credit, XVA and Risk · Chapitre 6 — Convexity Adjustments and Constant-Maturity Products

The linear terminal swap-rate model sets P(T,Tp)/A(T)=a0+a1S(T)P(T,T_p)/A(T) = a_0 + a_1S(T), with a0=1/∑iδia_0 = 1/\sum_i\delta_i (the value when all rates are zero) and a1a_1 chosen so that the relation holds today: a0+a1S(0)=P(0,Tp)/A(0)a_0+a_1S(0) = P(0,T_p)/A(0).

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