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- 2011-7-11
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- 2013-8-20
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Anyone have a good currency swaps model? I'm trying to build one but am having trouble with my limited knowledge based on CFA 2 books. For example, the book tell us to use LIBOR to build the discount factor for fixed rates or how the payments are periodical and the same, but real life swaps have their own agreed fixed rates and payments timed to whatever the parties agree to (it is OTC after all). Anyone in the biz with some tips? It was much easier building a black scholes model... |
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