Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

New cash settlement method for swaptions: Collateralized cash price #1902

merged 2 commits into from Mar 6, 2019


Copy link

@marc-henrard marc-henrard commented Mar 5, 2019

Method is now standard convention for EUR swaptions

* The Collateralized Cash Price
* <p>
* The settlement amount is computed with the discount factor based where the parties are deemed to have a
* bilateral, zero-threshold ISDA CSA. (ISDA definition 18.3 (g)
Copy link

@jodastephen jodastephen Mar 5, 2019

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

Can we use the format "Defined by the 2006 ISDA definitions 4.16a."


@jodastephen jodastephen merged commit 649f4d1 into master Mar 6, 2019
14 checks passed
@delete-merged-branch delete-merged-branch bot deleted the topic/swpt-collat-cash branch Mar 6, 2019
@jodastephen jodastephen added this to the v2.3 milestone Apr 24, 2019
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
None yet
Linked issues

Successfully merging this pull request may close these issues.

None yet

3 participants