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attack68 / book_irds3

Code repository for Pricing and Trading Interest Rate Derivatives
GNU General Public License v3.0
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Erratum: 8.3.1 Gamma and No arbitrage #5

Open attack68 opened 1 year ago

attack68 commented 1 year ago

There is a factor of +1 missing from both terms resulting in a negligible calculation error. The section has been re-written as follows:

Screenshot 2023-08-06 at 08 21 21
jackieli19 commented 1 year ago

Great work, I have read the 70% of your 3rd version. Very useful to me, who worked as a USD Swap trader. It would be great if you are happy to connect.

attack68 commented 1 year ago

Great work, I have read the 70% of your 3rd version. Very useful to me, who worked as a USD Swap trader. It would be great if you are happy to connect.

Sure, do find me on LinkedIn.com as Hamish Darbyshire

jackieli19 commented 1 year ago

Great work, I have read the 70% of your 3rd version. Very useful to me, who worked as a USD Swap trader. It would be great if you are happy to connect.

Sure, do find me on LinkedIn.com as Hamish Darbyshire

Thanks Added.

Btw, on page 159, the power of the dual number should be: image