5.3.Hull Ch 4

LIBOR

London Inter-Bank Offered Rate: used to value derivatives securities whose counterparties are not completely free of default risk
Bootsrap method to determine zero rates

Solve equation P = ∑CF_t e^-R_it
Value of FRA (Forward Rate Agreement)

Value of FRA = L(R_k - R_F)(T₂ - T₁)e^-R₂T₂

Author

Exam9

ID

67441

Card Set

5.3.Hull Ch 4

Description

Hull

Updated

2011-02-19T17:05:22Z

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