Sandbox




This is the Green Needham wiki sandbox. Go ahead and edit this page to get the hang of using the wiki.
Try creating new pages. If you make the first word of the name "sandbox", you'll be sure not to interfere with any real pages by accident. Here's an example of a new page  My test page.
Contents
Other online resources
 Wikitext Examples
 A Quickie Wiki Guide to Editing Content  A useful reference
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This is a major section
Here's a link to the EPA's page for kids.
This is a secondlevel section
Here's a link to another page within the wiki  Green Needham Tips
Pricing
 Swap value is zero at initiation, so can calculate price
 Replicate swap with underlying assets and price those
Key insights for pricing:
 Value of a floating rate security is par value at the start and at all coupon reset dates
 To the borrower, an interest rate swap is equivalent to borrowing at a fixed rate.
 Therefore, value of fixed payments is equivalent to the price of a coupon bond (see this section of Fixed Income Investments). So the fixed rate is:
 Failed to parse (Missing <code>texvc</code> executable. Please see math/README to configure.): r_{{fs}}={\frac {1P_{0}(0,t_{n})}{\textstyle \sum _{{i=1}}^{n}P_{0}(0,t_{i})}}\quad {\mbox{ or  }}\quad r\textstyle \sum _{{i=1}}^{n}P_{0}(0,t_{i})+P(0,t_{n})=1
 P_{0} is the present value factor based on the interest rate applicable to that period (0 to t_{n}) which can be:
 a single rate
 a series of chainlinked periodic rates)
Valuing
Value Failed to parse (Missing <code>texvc</code> executable. Please see math/README to configure.): V_{t}={\frac {S_{t}}{S_{0}}}P_{0}(0,t_{n})r_{{FS}}(\sum _{{i=1}}^{n}P_{0}(0,t_{i}))
 where
 PV factors are as for valuing interest rate swaps
 New term structure for time t is used to calculate PV factors
 Failed to parse (Missing <code>texvc</code> executable. Please see math/README to configure.): {\frac {1+x^{2}}{y4}}
 Failed to parse (Missing <code>texvc</code> executable. Please see math/README to configure.): {\frac {1+c^{{ey}}}{(1+t)^{n}}}
Testing upload in new version
Testing team pages