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Paper / 2020SMQ / 237751069774071
Cross Currency Valuation and Hedging in the Multiple Curve Framework
Alessandro Gnoatto / Nicole Seiffert
interest ratesResource overview

Cross Currency Valuation and Hedging in the Multiple Curve Framework

Paper2020

by Alessandro Gnoatto, Nicole Seiffert

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interest rates

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Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

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