Tag Archives: interest rate swap

CVA calculation example

Posted on April 10, 2010 by Cyril

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

Posted on September 19, 2009 by Cyril

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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