Exercise Solution 9.1

Exercise Solution 9.1

The interest rate cap remapping is most analogous to the third of the fixed cash flow remappings. In both remappings, the position of the proxy asset within each bucket as well as the holdings in each proxy asset were allowed to vary.

In the first and second fixed cash flow remappings, the positions of the proxy cash flows were pre-specified within each bucket.

 
Comments are closed.

Powered by WordPress. Designed by WooThemes