What is calibration in valuation/pricing process
What is calibration in valuation/pricing process?
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While a quant has to value an exotic contract then he looks to the exchange-traded vanillas to provide him some insight in what volatility to utilize. It is calibration.
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Your firm have just issued five year floating-rate notes indexed to six-month U.S. dollar LIBOR plus 1/4%. Describe the amount of first coupon payment your firm will pay per U.S. $1,000 of face value, if six-month LIBOR is at present 7.2%?Solution:
If the cost benefit of interest rate swaps would probably be arbitraged away in competitive markets, what other explanations present to explain the rapid development of the interest rate swap market?All kinds of debt instruments are not always o
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You are required to submit a bid to supply 200,000,000 widgets per year to the State of Illinois for the next five years. Your company has an idle tract of real estate that cost $1,500,000 ten years ago; if your company sold the land today, it would generate $3,000,000 after the taxes were paid. The
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