Abstract
We saw before that the collateral determines the discount rate: a EUR swap which is cash-collateralized in EUR is priced using the EONIA curve.
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© 2015 Roland Lichters, Roland Stamm, Donal Gallagher
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Lichters, R., Stamm, R., Gallagher, D. (2015). Global Discounting. In: Modern Derivatives Pricing and Credit Exposure Analysis. Applied Quantitative Finance. Palgrave Macmillan, London. https://doi.org/10.1057/9781137494849_4
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DOI: https://doi.org/10.1057/9781137494849_4
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-49483-2
Online ISBN: 978-1-137-49484-9
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