Student Work

 

Credit default swap and asset swap pricing Public

Downloadable Content

open in viewer

Two swap pricing models were developed at Bank of America's London office. The credit default swap model takes market offer and bid prices of individual swaps to calculate the intrinsic value of a CDS index, facilitating skew trades and completing client valuation requests. The asset swap model constructs a LIBOR curve, provides detailed cash flow analysis and spread valuation, and measures interest risk. Both models produce accurate valuations and contribute to daily trading operations at Bank of America.

  • This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.
Creator
Publisher
Identifier
  • 07C012M
Advisor
Year
  • 2007
Center
Sponsor
Date created
  • 2007-01-01
Resource type
Major
Rights statement
License

Relationships

In Collection:

Items

Permanent link to this page: https://digital.wpi.edu/show/jw827f965