Abstract

It is well known that a plain riskless floater is worth par and has zero interest rate delta immediately before a fixing in a classic one curve setup. We investigate the structure of the delta under credit risk, a first fixing and a margin added to the payoff. We decompose the delta into three parts representing the different sources of risk.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call