A****e
发帖数: 58 | 1 currency: USD ACT/360
用black model公式计算caplet value
假设 dd/mm/yy
valuation date: 20/02/08 (d1)
spot date: 22/02/08 (d2)
caplet reset date: 04/07/08 (d3)
caplet forward start date: 08/07/08 (d4)
caplet payment start date: 08/07/08 (d5)
black model里面的T怎么算？
d3-d2?
还是d3-d1?
还是其他？
这种有analytical formula的居然算不对，郁闷 |
h**********k
发帖数: 168 | 2 depending on your formula. |
r**u
发帖数: 69 | 3 I think it's (d3-d1). However, d2 is probably your settle date, so you need
to pay/receive interest for 2 days.
【在 A****e 的大作中提到】
: currency: USD ACT/360
: 用black model公式计算caplet value
: 假设 dd/mm/yy
: valuation date: 20/02/08 (d1)
: spot date: 22/02/08 (d2)
: caplet reset date: 04/07/08 (d3)
: caplet forward start date: 08/07/08 (d4)
: caplet payment start date: 08/07/08 (d5)
: black model里面的T怎么算？
: d3-d2?
|
h**********k
发帖数: 168 | 4 ryou, I do not know, but is there really interest exchange for 2 days? do
you know it for a fact?
need
【在 r**u 的大作中提到】
: I think it's (d3-d1). However, d2 is probably your settle date, so you need
: to pay/receive interest for 2 days.
|
