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File name: SSRN-id1898950. ; Size: 237K
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Pricing Swaps Including Funding Costs
Antonio Castagna
Iason Ltd.
July 28, 2011
Abstract:
In this paper we study how to include funding costs into the pricing of interest rate swaps and we show how they affect the value of the swap via a Funding Value Adjustment (FVA), in analogy with the Credit Value Adjustment (CVA) and the DVA. We consider the pricing of swap contracts with no collateral agreement or any other form of credit risk mitigations.
Number of Pages in PDF File: 19
Keywords: funding, liquidity, DVA, credit spread, funding value adjustment, FVA
JEL Classification: G13
working papers series
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Date posted: July 31, 2011
; Last revised: January 31, 2012
Suggested CitationCastagna, Antonio, Pricing Swaps Including Funding Costs (July 28, 2011). Available at SSRN: http://ssrn.com/abstract=1898950 or http://dx.doi.org/10.2139/ssrn.1898950
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