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Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
liquidity crisis counterparty risk yield curve forward curve discount curve
2010/11/1
We revisit the problem of pricing and hedging plain vanilla single-currency in-terest rate derivatives using multiple distinct yield curves for market coherent esti-mation of discount factors and forw...
Use of Interest Rate Derivatives by U.S. Based Domestic and Global Bond Mutual Funds
Bond Mutual Funds Derivatives Use
2010/10/18
We investigate the use of interest rate derivatives by U.S. based domestic and global bond mutual funds. Using SEC filings and monthly return data, we document the use of derivatives across subcatego...