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Appreciator - Loan Bullet
Neste artigo, veremos como precificar um empréstimo no modelo Loan Bullet.
Descrição dos campos:
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| Campo | Descrição |
|---|---|
| Currency Spot | Moeda do empréstimo - sempre BRL |
| LoanType | |
| Company | |
| Manager | |
| TradeDate | |
| ReferenceDate | |
| Notional | |
| AccruedValue | |
| FutureValue | |
| CalendarSpot | |
| Trade-Expiry Bd | |
| Trade-Expiry Cd | |
| ExpirationDate | |
| InterestCurveGroup | |
| SpreadCurveGroup | |
| RatingCurveGroup | |
| TradeInterest | |
| InterestBase | |
| TradeInterestCalendar | |
| TradeSpreadType | |
| TradeSpread | |
| TradeSpreadBase | |
| TradeSpreadCalendar | |
| TradeRating | |
| TradeRatingSpreadType | |
| TradeRatingRate | |
| TradeRatingBase | |
| TradeRatingCalendar | |
| TradeLoan | |
| TradeLoanBase | |
| TradeLoanCalendar | |
| Price | |
| Finance | |
| Theta | |
| ThetaF | |
| Rho | |
| RhoF | |
| RhoSpread | |
| RhoSpreadF | |
| RhoRating | |
| RhoRatingF | |
| Reference-Expiration Bd | |
| Reference-Expiration Cd | |
| ReferenceInterest | |
| ReferenceInterestCalendar | |
| ReferenceSpreadType | |
| ReferenceSpread | |
| ReferenceSpreadBase | |
| ReferenceSpreadCalendar | |
| ReferenceRating | |
| ReferenceRatingSpreadType | |
| ReferenceRatingRate | |
| ReferenceRatingBase | |
| ReferenceRatingCalendar | |
| ReferenceLoan | |
| ReferenceLoanBase | |
| ReferenceLoanCalendar |
Tutorial: