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Published October 18, 2022 | Version v2
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Quanto Total Return LIBOR Swap Valuation

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Description

A quanto total return Libor Swap is a swap where one leg is a regular floating leg paying LIBOR less a constant spread and the other leg makes a single payment at the swap’s maturity equal to a leveraged non-negative return on USD-for-EURO exchange rate paid in CAD. The main focus of the valuation model is the quantoed total return on the FX rate.

Notes

https://ia904705.us.archive.org/24/items/mortgageCashFlow/mortgageCashFlow.pdf

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OSFquantoTrs.pdf

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