I recently stumbled across a little piece of magic, ShareLaTeX. I had just switched OS on my work laptop which meant reinstalling LaTeX again. It’s a windows machine, and I was also keen to be able to use my Mac Mini at home, so I started to look into using google drive with LaTeX. Whilst […]

Valuation of CME Deliverable Swap Future

Recently CME announced the introduction of a new interest rate swap future. The future delivers an interest rate swap at expiry which is then cleared through CME. The contract uses the usual future style margining. This week I had a quick look at the valuation of the contract. The existing machinery developed by Marc Henrard […]