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  • Search: isPartOf:"OpenGamma Quantitative Research, n.13, July 2013"
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Collateral 1 Kreditsicherung 1 Theorie 1 Theory 1
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English 1
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Henrard, Marc P. A. 1
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OpenGamma Quantitative Research, n.13, July 2013 1
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Multi-Curve Framework with Collateral
Henrard, Marc P. A. - 2013
This note is dedicated to the impact of collateral on the multi-curve framework. The pricing formulas in presence of collateral are described in a generic way encompassing several financial realities. The collateral cases covered include cash collateral, foreign currency collateral, collateral...
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