Tag Archives: interest rate swap

CVA calculation example

Let’s calculate CVA (credit value adjustment) analytically. We will see that analytical CVA calculation is quite complex even for a fairly simple transaction (a vanilla swap). A few shortcuts will help us simplify the calculation.

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Pricing interest rate swaps

To price an interest rate swap (e.g. fixed versus 6 months LIBOR paid semi-annually), one needs to use 2 zero-rate curves: a discount curve and a prediction curve (a.k.a. forecast curve). This article by Bruce Tuckman and Pedro Porfirio gives … Continue reading

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