5.3.Hull Ch 4

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  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

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Author:
Exam9
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67441
Filename:
5.3.Hull Ch 4
Updated:
2011-02-19 17:05:22
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Hull
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Hull
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