Derivatives · glossary
A pencil rebuild of a swap's value: the rate gap on each quarter left, added up. On Atlas's €15,000,000 it was €75,000 for each of ten quarters and €40,000 for the last short period, €790,000 in all. The bank's model then took €25,000 off. Chapter 12
Explained in Chapter 12, Close-out: the Number, of Derivatives.
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