Essays about: "Discounting curves"

Found 1 essay containing the words Discounting curves.

  1. 1. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Robert Constantin; Denis Gerzic; [2018]
    Keywords : Municipal borrowing; Nikkei-linked loans; Multi-curve framework; Discounting curves; Forward curves; CVA; Monte Carlo simulation; Structured bond; Black and Scholes PDE; Structured swap;

    Abstract : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. READ MORE