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Showing posts with label
Power Reverse Dual Currency Note
.
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Showing posts with label
Power Reverse Dual Currency Note
.
Show all posts
Thursday, April 13, 2023
QuantLib-Python: Monte Carlo Valuation for Power Reverse Dual-Currency Note (PRDC)
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PRDC note Essentially, PRDC note can be thought as taking a leveraged position on FX forward curve. Floating coupon rate is a function of FX...
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