enjofaes
Active Member
Hi David,
I have a question relating sheet 29_7_CMS in the spreadsheets. Maybe a stupid one. The probabilities q & 1-q, are these normally given for this example?
I'm maybe overthinking it, but as we are given the interest rate process we should firts derive it assuming a zero-coupon security and then calculate the value of the swap?
I have a question relating sheet 29_7_CMS in the spreadsheets. Maybe a stupid one. The probabilities q & 1-q, are these normally given for this example?
I'm maybe overthinking it, but as we are given the interest rate process we should firts derive it assuming a zero-coupon security and then calculate the value of the swap?