In this work, we would like to develop the idea to insert a behavioral benefit for pricing a swap, signed by a Local Government Unit (LGU), in the discrete time case. The technique uses stochastic analysis instruments and takes in account both the consequence of the last financial crisis and the problems for reconstructing the zero-coupon interest rates curve as implied by the swap rates. The extension consists to put this kind of benefit in the fixed leg instead of the floating one.
A BEHAVIORAL BENEFIT TOOLFOR PRICING A SWAP FOR A LOCAL GOVERNMENT UNIT: AN EXTENSION TO THE FIXED-LEG CASE IN DISCRETE TIME SETTING
COSTA, Vincenzo;DELLI QUADRI, Angelo
2011-01-01
Abstract
In this work, we would like to develop the idea to insert a behavioral benefit for pricing a swap, signed by a Local Government Unit (LGU), in the discrete time case. The technique uses stochastic analysis instruments and takes in account both the consequence of the last financial crisis and the problems for reconstructing the zero-coupon interest rates curve as implied by the swap rates. The extension consists to put this kind of benefit in the fixed leg instead of the floating one.File in questo prodotto:
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