Questions tagged [collateral]
Questions related to collateral, from impact on theoretical valuations to operational aspects of collateral posting.
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answer
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Cheapest-to-deliver (CTD) discount curve
Can someone explain, in layman's terms, the mechanics (the algorithm steps) of the construction of the discount curve in the case when the CSA allows the posting party to choose a currency (from a ...
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votes
3
answers
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Why is CSA currency OIS rate used in discounting instead of local currency OIS?
I have been struggling to understand the logic behind cross currency OIS discounting (where cash flows happen in different currencies than the collateral is paid). I will illustrate my question ...
- 81
5
votes
1
answer
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Risk-neutral expectation equation with collateral and funding costs
I am looking at a paper by V. Piterbarg, Funding beyond discounting: collateral agreements and derivatives pricing, that you can download on the following link, in which the author adapts the Black-...
- 8,149
13
votes
4
answers
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Rationale for OIS discounting for collateralized derivatives?
Can someone explain to me the rationale for why the market may be moving towards OIS discounting for fully collateralized derivatives?
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3
votes
3
answers
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Funded equity collars and margin loans
There is an article in the Financial Times today concerning equity funded collars [1]. The equity collar structure is used by a counterparty $A$ which wants to build up a position in a stock $S_t$. ...
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2
votes
1
answer
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Collateral replication argument
I'm trying to follow the replication argument in the first page of the following paper
http://www.math.columbia.edu/~fts/Collateralized%20trade%20pricing%20made%20simple%20v1a.pdf
One can however ...
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