Monthly Archives: January 2017

The standard market formula used to price cash-settled swaptions is a copy of the physical delivery Black formula, where the classical annuity term is replaced with a single-factor one (discounting on the underlying swap rate fixing at maturity). As reported in Mercurio and OpenGamma notes, this formula is not arbitrage-free. In order to get a proper… Read More »

In numerical analysis, a cubic Hermite spline or cubic Hermite interpolator is a spline where each piece is a third-degree polynomial specified in Hermite form: that is, by its values and first derivatives at the end points of the corresponding domain interval. Hermite curves are very easy to calculate but also very powerful. Curve Construction… Read More »