Published May 26, 2022
| Version v1
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Option Close-out Reserve Model
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Description
We present a model to calculate the monthly Close-Out Reserve of the structured interest rate derivatives. Products cover vanilla swaptions, Bermudan swaptions, callable swaps, variable notional swaptions, cap and floor and Treasury bond options.
Notes
https://osf.io/k3wc9/download
Files
closeOutReserve.pdf
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(23.9 kB)
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