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It may seem strange to start this chapter with an instrument that has already been analysed. The reason for returning to this instrument is the payment lag. The payment of OIS coupons does not occur on the end day of the fixing period but with a certain l
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Interest Rate Modelling in the Multi-curve Framework
10.1057/9781137374660 - Interest Rate Modelling in the Multi-Curve Framework, Marc Henrard
10.1057/9781137374660 - Interest Rate Modelling in the Multi-Curve Framework, Marc Henrard
Copyright material from www.palgraveconnect.com - licensed to University of Liverpool - PalgraveConnect - 2016-01-11
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Foundations, Evolution and Implementation
Marc Henrard OpenGamma, London, UK
10.1057/9781137374660 - Interest Rate Modelling in the Multi-Curve Framework, Marc Henrard
Copyright material from www.palgraveconnect.com - licensed to University of Liverpool - PalgraveConnect - 2016-01-11
Interest Rate Modelling in the Multi-curve Framework
© Marc Henrard 2014
Any person who does any unauthorized act in relation to this publication may be liable to criminal prosecution and civil claims for damages. The author has asserted his rights to be identified as the author of this work in accordance with the Copyright, Designs and Patents Act 1988. First published 2014 by PALGRAVE MACMILLAN Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan in the US is a division of St Martin’s Press LLC, 175 Fifth Avenue, New York, NY 10010. Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries ISBN: 978–1–137–37465–3 This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources. Logging, pulping and manufacturing processes are expected to conform to the environmental regulations of the country of origin. A catalogue record of this book is available from the British Library. A catalog record for this book is available from the Library of Congress.
10.1057/9781137374660 - Interest Rate Modelling in the Multi-Curve Framework, Marc Henrard
Copyright material from www.palgraveconnect.com - licensed to University of Liverpool - PalgraveConnect - 2016-01-11
All rights reserved. No reproduction, copy or transmission of this publication may be made without written permission. No portion of this publication may be reproduced, copied or transmitted save with written permission or in accordance with the provisions of the Copyright, Designs and Patents Act 1988, or under the terms of any licence permitting limited copying issued by the Copyright Licensing Agency, Saffron House, 6–10 Kirby Street, London EC1N 8TS.
List of Figures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . viii List of Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . x Preface . . . . . . . . . . . . . .
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