-
Quanto Total Return LIBOR Swap Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Scholarly Communication
- Subject(s):
- Derivative securities, Derivative securities--Valuation
- Item Type:
- Essay
- Tag(s):
- total return swap, quanto option
- Permanent URL:
- https://doi.org/10.17613/wjnq-nj33
- Abstract:
- A quanto total return Libor Swap is a swap where one leg is a regular floating leg paying LIBOR less a constant spread and the other leg makes a single payment at the swap’s maturity equal to a leveraged non-negative return on USD-for-EURO exchange rate paid in CAD. The main focus of the valuation model is the quantoed total return on the FX rate.
- Notes:
- https://finpricing.com/lib/EqConvertible.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 8 months ago
- License:
- Attribution
quantotrs.pdf