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1. convertible convertible Public

   convertible bond

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2. SwapCurve SwapCurve Public

   Swap Curve Data Introduction

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3. creditSpreadCurve creditSpreadCurve Public

   There is only one base interest rate per currency, corresponding to the bank’s unsecured lending/borrowing rate (such as LIBOR). The interest rate used to discount cashflows may include a credit sp…

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4. MutualFundSecuritization MutualFundSecuritization Public

   Under the mutual fund securitization agreement, one party may provide monthly funding for the commission to brokers selling mutual fund units, up to one year. The purpose of the model is to determi…

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5. ConvertibleHullWhite ConvertibleHullWhite Public

   A convertible bond pays the holder periodic coupon payments from the issuer, but can also convert it into the issuer’s stock. The model uses a two-factor trinomial tree for pricing the convertible …

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6. AssetBackedNote AssetBackedNote Public

   A asset backed securitization note allows the holder to purchase co-ownership interests in a revolving pool of credit card receivables. To fund the acquisition of the interests in the revolving poo…

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