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What is Curve Stripping with Full Collateralisation about?

This document discusses stripping interest rate curves when accounting for collateralization. It begins by introducing the Fujii Shimada Takahashi (FST) theorem, which specifies the present value of a fully collateralized derivative. The FST theorem and its corollaries provide the framework for stripping cross-currency swap curves to determine the initial term structures of risk-free, collateral, and Libor rates in multiple economies. As an example, the document focuses on stripping USD cross-currency swaps

Author

남상욱

Language

EN