31. March 2017

Notes on Convexity and Quanto Adjustments for Interest Rates and Related Options

We collect simple and pragmatic exact formulae for the convexity adjustment of irregular interest rate cash flows as Libor-in-arrears or payments of a swap rate (CMS rate) at an irregular date. The results are compared with the results of an…

27. February 2017

MiFID II & MiFIR Index: Overview of the most current regulatory documents

Before MiFID II and MiFIR become applicable throughout Europe from January 2018, numerous documents for discussion, consultation and comment have been or are expected to be published during the specification and drafting phase. In our MiFID II Index we organise…