There is a correction in the spreadsheet: JG_XLS_8.4 (CCS swap)
Example at time 0.025
PFE for CCS
=SQRT(B17*(10-B17)^2*IRVol^2+B17*FXVol^2+2*IRFXCorr*B17*SQRT(10-B17)*IRVol*FXVol)
The square root term on the last term should be eliminated and thus the correct formula is...
Hi @David Harper CFA FRM
I am trying to understand the credit exposure profiles in Ch13.
For an IRS (Pay Fix, Recieve Float):
The scenario in the notes where i_fix>i_flt initially, then reverses afterward, as the yield curve slopes upwards. Why initially when I am paying net on the swap the...
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