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- 2011-7-2
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- 2015-12-13
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to convert the rates to LIBOR - use 360 days convention.
to convert to EAR use 365 days convention.
Puts and Calls are valued at say 90/360, 180/360 and so -- LIBOR based.
when you finally convert to EAR --> use ^(365/180) -1 or ^(365/90) -1
CP |
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发表于 2011-7-13 16:32
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