Lecture 2022-2 (05): Comp. Fin. 2 / Applied Mathematical Finance: Simple Interest Rate Products 2/2
Channel: finmath
Date: 2022-11-15

Lecture 2022-2 (05): Computational Finance 2 / Applied Mathematical Finance: Simple Interest Rate Products (Part 2/2)

- Floating Rate Bond
- Valuation of a Floating Rate Bond
- Fixing and Payment Date
- Moving the Payment Date
- Swap
- Valuation of Swap
- Swap Rate
- Swap Annuity
- Business Day Calendar and Schedules
- Swap on Backward Rate
- Static Replication