She said she based this number on a survey conducted by her firm. In other words, an important source of profit for swappers is the assumptions they make. They didn't work even under ordinary market conditions. Derivatives valuation models are complex and varied in design, Rahl continued, and there is room for art as well as science in them. Consider the problem of fashioning a model s internal yield curve.
Some practitioners connect the points with straight lines creating a jagged shape.
Others use a mathematical gizmo called spline interpolation to take the jags out and connect the points with arcs. As the Competition for Business Intensifies, Minorities, Women Fight for Share of Pie Minority and women-owned firms are making some inroads to the lucrative municipal derivatives market, but they have a long way to go before becoming regular participants. Issuers should be careful when structuring a swap about making or receiving end upfront payment, swap consultant Leslie Rahl warned. It can make a lot of sense, but it depends on the nature and magnitude of the transaction. Issuers Say That With Derivatives, Consultants Provide Vital Technical Advice Leslie Rahl, now president of her own derivatives consulting firm, was the head of interest rate risk management at Citibank.