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.
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OSFquantoTrs.pdf
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