Abstract
In this chapter, we explain how one can model both a first (domestic) and a second (foreign) interest-rate curve, each by a two-factor additive Gaussian short-rate model, in order to Monte Carlo price a quanto constant-maturity swap and similar contracts, which we will present in the following sections.
So curiosity is in a sense the heart of practice. Charlotte Joko Beck, “Nothing Special: Living Zen”, 1995, HarperCollins.
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© 2001 Springer-Verlag Berlin Heidelberg
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Brigo, D., Mercurio, F. (2001). Pricing Derivatives on Two Interest-Rate Curves. In: Interest Rate Models Theory and Practice. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-04553-4_11
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DOI: https://doi.org/10.1007/978-3-662-04553-4_11
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-04555-8
Online ISBN: 978-3-662-04553-4
eBook Packages: Springer Book Archive