Piterbarg Cooking With Collateral Pdf 14
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We illustrate the methods and results proposed in this article by two examples. The first one is an application of the multicurrency convexity model to the pricing of Eurodollars and cross rate swaps. In this case we obtain a one-to-one pricing relation between cross rate swaps and Eurodollars. The second example provides an interesting calibration exercise in the case of a currency swap with indexation in Treasury bills and Eurodollars. We show that the equations governing the dynamics of the forward rate in the absence of collateral lead to a two-dimensional Markov basket model with a unique strong solution. Even if this solution coincides with a perfect hedge, the market appears to be not well-behaved. Finally, we implement the above model to price the cross rate swap with indexation in a three-dimensional basket model and compare the results with the ones obtained from a basket model with a unique strong solution. We show that the latter leads to a much better fit of the calibration data.
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One of the drawbacks to this approach was that we needed to recompile every time we made even a small change to the code. This slowed everything else we were doing down and because we couldn't always have someone waiting for the application to finish building. 827ec27edc