The implementation note related to the Swap Rates and Term Structure Modelling described in one of our previous post has now been published on SSRN.
The note is available as a muRisQ Advisory Implementation Notes:
Swap Rates and Term Structure Modelling
The paper is available on SSRN
https://ssrn.com/abstract=4438524.
Abstract
WThis document contains implementation notes related to Bang and Daboussi (2022). We have extended the original paper by allowing actual accrual factors (not all 1) and non-annual frequency on the fixed side. The note first describes the detailed formulas in this extended setting. In a second part some choices of the implementation and results obtained are provided.
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