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I have a short question about a convention when doing a "mid-life"-buyout of an interest rate swap (with a clearing house for example). More specifically, if the buyout date is exactly on a coupon payment date is it generally assumed that the coupon payment is included in the npv when agreeing on the amount? Is the convention in this regard possibly related to which currency ...

In binomial tree model, the stock price is modelled in the form of $S_{k\delta}=S_{(k-1)\delta}\exp(\mu\delta+\sigma\sqrt\delta Z_k)$, where $\delta$ is time invertal between two observations $S_{k\delta},S_{(k-1)\delta}$, $Z_k=1,-1$ for upward and downward scenarios of the stock price change.

I noted some illustrations of variance and mean to explain why the model is ...

I'm not sure this is the right forum so please let me know if there's a more appropriate one. I'm trying to calculate the history of an index rate used for adjustable rate mortgages. The contract describes it as: the "Twelve Month Average" of the annual yields on actively traded U.S. Treasury Securities adjusted to a constant maturity of one year as published by the Federal R...

I have been searching for a behavioural modelling approach to project the cash flows of no maturity loan products (such as credit cards, revolving loans and overdrafts) for interest rate risk purposes. Though I couldn't find any strong sources for it. What are the common practices in banks when it comes to modelling these kinds of purposes within the perspective of interest r...

How do I use maturity date of an ois instead of its tenor, I am using the following QuantLib function:

ois = ql.MakeOIS(ql.Period('3Y'), index, 0.1, nominal=1000000, settlementDays=0, effectiveDate=ql.Date(28,6,2024), paymentLag=2, paymentAdjustmentConvention=ql.ModifiedFollowing)

Using the following function takes away the ability of paymentLag:

ql.Overn...