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Information
Tim Xiao
BMO
Position
Department
Field of research
Economics (General Management)
Email
cfrm17@yahoo.com
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CAD Government Bond Bootstrapping
Economics (General Management)
305 views
Date of upload:
21.12.2022
Co-author:
Abstract:
Canadian Government Bonds are traded and quoted based on yield to maturity (YTM). The actual settlement clean price depends on the number of coupons available. For bonds with a single remaining coupon, the bond trades at a pure discount (i.e., like a money market instrument). For bonds with multiple remaining coupons, these are priced with a special formula.
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Pricing American Swaption
Economics (General Management)
218 views
Date of upload:
22.12.2022
Co-author:
Abstract:
If an American swaption is exercised at a point that is not a reset date, in practice, the effective Libor rate at the point of exercise is a blended rate, which is linearly interpolated from a pair of Libor rates with respective accrual periods that bracket the remaining time interval to the next reset date. The effective Libor rate at the exercise point is taken to be the simple interest rate implied from the zero-coupon bond price to the next reset date. This treatment represents a compromise between accuracy and computational efficiency, since it avoids having to determine bracketing Libor rate values.
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Cancelable Swap Pricing Model
Economics (General Management)
264 views
Date of upload:
22.12.2022
Co-author:
Abstract:
A pricing model is presented for pricing cancelable fixed-for-floating interest rate swap. Here, party A makes regular payments that depend on the average level of a Libor rate over a set of Asian observation points, while party B makes upfront fixed rate payments.
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GIC Redemption Option Sensitivity Calculation
Economics (General Management)
240 views
Date of upload:
23.12.2022
Co-author:
Abstract:
Flexible is a one year maturity GIC whose holder has an option to redeem the principal and accrued interest without any penalty from one month after inception till maturity. If the holder chooses to redeem the GIC within the first 30 days after inception, a zero call rate is applied.

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