5.3.Hull Ch 4

The flashcards below were created by user Exam9 on FreezingBlue Flashcards.

  1. LIBOR
    London Inter-Bank Offered Rate: used to value derivatives securities whose counterparties are not completely free of default risk
  2. Bootsrap method to determine zero rates
    Solve equation P = ∑CFt e-Rit
  3. Value of FRA (Forward Rate Agreement)
    Value of FRA = L(Rk - RF)(T2 - T1)e-R2T2
Author
ID
67441
Card Set
5.3.Hull Ch 4
Description
Hull
Updated
Show Answers