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D. L. Chertok† November 8, 2012

Summary

A callable leveraged constant maturity swap ( CMS ) spread note allows the holder to beneﬁt from future changes in the spread between two swap interest rates. The issues retains the right to call the note at pre-speciﬁed times in the future. The note is priced via Monte Carlo simulation using the current term structure of interest rates and at-themoney implied swaption volatilities.

1

Mathematical formulation

The note under consideration periodically pays the holder a multiple of the spread between two index swap rates at scheduled future dates. The issuer of the note may call the note at pre-speciﬁed future dates. For a period of time prior to the ﬁrst reset date the note pays a ﬁxed coupon. On a payment date, the holder receives an amount equal to B(ti ) Bf ixed (ti ) Bf loat (ti ) = = = × δ(τ ) where: ti Bf ixed (ti ) payment date; ti ∈ [t0 ; T = tN ], ﬁxed portion of the note payout, = Bf ixed (ti ) + Bf loat (ti ) , ci ∆ti P δ(nr0 − i) , (1.1) (1.2)

max {0, [r(ti , Tlong ) − r(ti , Tshort )]κ∆ti } (1 − δ(tc − ti )) δ(i − nr0 ) + C∆ti (δ(tc − ti−1 ) − δ(tc − ti )) , i = 1, N , (1.3) 0, τ < 0, , τ ∈ [t0 , T ] , (1.4) 1, τ ≥ 0.

† D. L. Chertok, Ph. D., CFA, (daniel chertok@hotmail.com) is a quantitative investment professional in Chicago, IL.

1

Bf loat (ti ) n rj ci P ∆ti T t0 r(ti , Tlong ) r(ti , Tshort ) κ C tc

= -

variable ( ”ﬂoating” ) portion of the note payout, j-th note rate reset time, j = 0, J , nrJ ≤ N − 1, note coupon rate at time ti , note principal, ti − ti−1 , i = 1, N , note maturity, note effective date, the quoted rate at t with a tenor of Tlong − t that contributes positively to the payout, the quoted rate at t with a tenor of Tshort − t that contributes negatively to the payout, leverage coefﬁcient, redemption price at call time ( tc ), time the note is called, tc ∈ [tnc0 , tN −1 ].

The holder of a note described by ( 1.1 ) - ( 1.4 ) effectively owns three separate instruments: an interest-only ﬁxed coupon note maturing at tnr0 , a long cap on the swap spread r(ti , Tlong ) − r(ti , Tshort ) struck at zero and expiring at tN −1 and a short Bermudan call on the note itself struck at C, exercisable on any of the call dates and expiring at tN −1 . As a practical matter, we set the call dates to coincide with rate reset dates, i.e., tc ∈ {tnr0 , . . . , tnrJ }. The ﬁrst instrument can be priced using the current discount curve. A combination of the second and third instruments can only be priced using a simulation technique ( Monte Carlo ) due to the complexity of the options and the correlation between the two underlying rates - constituents of the spread.

2

Simulation algorithm

1. construct a discount curve ( e.g., as described in [7] ); 2. simulate the term structure of r(ti , Tlong ) , i = nr0 , N − 1, using the forward rate extracted from the discounted curve as the expected rate and assuming a lognormal rate distribution described in [1]; 3. construct an implied rate volatility surface using implied spot at-the-money swaption volatilities as a proxy; 4. compute correlation coefﬁcients r(ti , Tshort ) , i = nr0 , N − 1 from the volatility surface constructed above; 5. simulate the term structure of r(ti , Tshort ) , i = nr0 , N − 1 using the forward rate implied by the discount curve and the correlation coefﬁcients; 6. starting at maturity and going back to the ﬁrst call date, activate call provisions on any call date when the expected present value of future cash ﬂows on that date exceeds the redemption price; 2

The algorithm proceeds as follows:

7. aggregate present values ( PV ) of all stochastic cash ﬂows over scenarios to obtain the expected PV of the variable portion of the note; 8. add the PV of all deterministic cash ﬂows ( i.e., those occurring prior to the ﬁrst reset date ) to obtain the total PV of the note. We will now explain each step of the algorithm in more detail.

2.1

Constructing the discount curve

The discount curve is constructed from 1. short-term rates ( LIBOR ) starting from the valuation date up until the ﬁrst Eurodollar ( ED ) futures expiry date; 2. ED futures starting with the front contract expiration date up until the 2 year swap expiration date; 3. quote par swap rates from 2 to 50 years, using the FINCAD function aaSwap crv3 as described in [2] using the standard compounding, day count and business day conventions, loglinear interpolation on discount factors, linear interpolation on swap rates, and spot rate splicing for futures.

2.2

Simulating the term structure of the underlying interest rates

We assume that both underlying interest rates follow the Black-76 lognormal process [1]: r(t) where: µ σ N (t) drift, interest rate volatility inferred from at-the-money implied swaption volatilities, random standard normal variable.

1 2 = r(0)e{(µ− 2 σ t)+σ

√

tN (t)}

,

(2.1)

A Mersenne Twister [6] with antithetic variance reduction [5] is a good choice for a random number generator.

2.3

Simulating correlated underlying interest rates

**The correlation coefﬁcient between the two underlying rates can be computed as follows: ρ(t; Tshort , Tlong ) α β = = =
**

2 2 2 σt+Tshort ,t+TLong − α2 σt,Tshort − β 2 σt,Tlong

**2αβσt,Tshort σt,Tlong
**

N i=1

, (2.2) (2.3) (2.4)

dF (t, ti ) dF (t, ti )

N i=m+1

,

1−α, 3

where: στ1 ,τ2 implied volatility of the forward rate between times τ1 and τ2 inferred from at-the-money implied swaption volatilities, discount factor corresponding to time τ2 in effect at time τ1 .

dF (τ1 , τ2 ) -

The derivation of ( 2.2 ) - ( 2.4 ) is presented in Appendix B. Armed with ( 2.2 ) - ( 2.4 ), we can now generate correlated standard normal variates from uncorrelated draws: Nshort Nlong = = N1 , N1 ρ(t; Tshort , Tlong ) + N2 1 − ρ(t; Tshort , Tlong )2 , (2.5) (2.6) (2.7) where N1 , N1 are independent standard normal variates ( see Appendix B for proof ). We recycle ( 2.2 ) - ( 2.3 ) by using them for another simulation with the opposite sign ( control variates ). Feeding the results of ( 2.5 ) - ( 2.6 ) into ( 1.3 ) and aggregating over scenarios, we obtain the expected payouts of the variable portion of the note.

2.4

Simulating note calls

We assume that the node issuer is a rational player, and the note will necessarily be called at time tc if the present value of all expected future cash ﬂows ( to the holder ) at that time exceeds the sum of present values of the next coupon and redemption amount paid at the following call ( rate reset ) date. We utilize the generated term structure of the underlying rates as if they were actual realizations of interest rate paths. In our model the issuer has a ”perfect crystal ball” ( i.e., is 100% accurate in predicting future interest rates ). In reality, the uncertainty over future interest rates detracts from the value of the issuer’s call option, and the value of the note to the holder is higher. The note cannot be called at time T . At time TN −1 the note will be called if the PV at TN −1 of the sum of the expected remaining coupon payment and the redemption amount exceeds the redemption amount. The coupon amount for each scenario is determined by the simulated spread computed for each point in time as described in Section 2.3. If the note is called, all subsequent cash ﬂows are set to 0. Continuing this process backward to time t0 , we obtain the PV of the variable portion of the note for a single scenario. Aggregating over all scenarios, we arrive at the expected PV of the variable portion of the note.

2.5

Pricing the ﬁxed portion of the note

The present value of the ﬁxed cash ﬂows at time t can be computed using standard bond arithmetic ( see, e.g., [3] ):

L

BL (t)

=

l=1

cl ∆tl P dF( t, tl ) ,

(2.8) (2.9)

4

where L is the number of ﬁxed coupon payment dates and the rest of the notation is the same as in ( 1.1 ) - ( 1.4 ) and ( 2.2 ) - ( 2.4 ). Adding the result of ( 2.8 ) to the PV of the variable note portion computed in Sections 2.3 - 2.4, we arrive at the PV of the whole note.

3

Example

We consider a with a 10% annual coupon paid quarterly during the ﬁrst year and a variable coupon based on 50 times the spread between the 30-year and 10-year USD swap rates thereafter reset and paid quarterly. The note pays nothing if the spread is negative, is not capped and can be called at the issuer’s discretion on any reset date after Year 1. Swap quotes are follow the standard market convention for USD. The results for 20,000 Monte Carlo simulations are given in Table 1. The interest rate quotes are presented in Tables 2 - 4. ATM swaption volatilities are presented in Table 5. Table 1: Note pricing. Parameter Valuation date Effective date Maturity date First call date Fixed portion PV per $100 notional Variable note PV including principal per $1 notional Total PV Value 3/29/2007 3/07/2007 3/07/2022 3/07/2008 97.07 91.40 101.11

Appendix A

Transformation of variables

Y1 Y2 = X1 , = ρX1 + 1− ρ2 X2 . (A.1) (A.2) 1 − ρ2 X 2 ))] (A.3)

Let X1 and X2 be independent standard normal variables. Construct

**Then cov(Y1 , Y2 ) = = = E[(X1 − X 1 )(ρX1 +
**

2 ρσX1 −

1 − ρ2 X2 − (ρX 1 +

E[(X1 − X 1 )ρ(X1 − X 1 ) −

1 − ρ2 (X1 − X 1 )(X2 − X 2 )]

2 1 − ρ2 cov(X1 , X2 ) = ρσX1 ,

since X1 and X2 are independent standard normal variables and hence cov(X1 , X2 ) = 0. Now 2 ρσX1 cov(Y1 , Y2 ) corr(Y1 , Y2 ) = = =ρ, (A.4) σX1 σX2 σX1 σX2 5

Table 2: LIBOR quotes. Tenor O/N 1W 2W 1M 2M 3M 4M 5M 6M 7M 8M 9M 10M 11M 12M Bloomberg ID US00O/N Index US0001W Index US0002W Index US0001M Index US0002M Index US0003M Index US0004M Index US0005M Index US0006M Index US0007M Index US0008M Index US0009M Index US0010M Index US0011M Index US0012M Index px last 5.36 5.31875 5.31625 5.32 5.34 5.34938 5.34 5.33 5.32 5.30313 5.28594 5.26656 5.24531 5.22406 5.2 Effective Date 3/29/2007 3/30/2007 3/30/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 Maturity Date 4/3/2007 4/9/2007 4/16/2007 5/2/2007 6/4/2007 7/2/2007 8/2/2007 9/3/2007 10/2/2007 11/2/2007 12/3/2007 1/2/2008 2/4/2008 3/3/2008 4/2/2008

since σX1 = σX2 = 1.

Appendix B

Derivation of the implied correlation coefﬁcient

Consider two par swap rates effective at time t: r(t, t + τ ) and r(t, t + T ), where τ and T are time intervals such that 0 < τ ≤ T . The present values of the ﬁxed legs of the respective swaps with unit notionals are:

m

S(t, t + τ ) S(t, t + T ) m n α∗ β∗

= r(t, t + τ )∆t

i=1 n

dF (ti ) = α∗ r(t, t + τ ) , dF (ti ) = β ∗ r(t, t + T ) ,

i=1

(B.1) (B.2) (B.3) (B.4)

= r(t, t + T )∆t = = = = τ , ∆t T , ∆t

m

∆t

i=1 n

dF (ti ) , dF (ti ) ,

i=1

(B.5) (B.6)

∆t

6

Table 3: Future quotes.

Bloomberg ID EDM7 Comdty EDU7 Comdty EDZ7 Comdty EDH8 Comdty EDM8 Comdty EDU8 Comdty EDZ8 Comdty EDH9 Comdty EDM9 Comdty EDU9 Comdty EDZ9 Comdty EDH0 Comdty EDM0 Comdty EDU0 Comdty EDZ0 Comdty EDH1 Comdty EDM1 Comdty EDU1 Comdty EDZ1 Comdty EDH2 Comdty EDM2 Comdty EDU2 Comdty EDZ2 Comdty EDH3 Comdty EDM3 Comdty EDU3 Comdty EDZ3 Comdty EDH4 Comdty EDM4 Comdty EDU4 Comdty EDZ4 Comdty EDH5 Comdty EDM5 Comdty EDU5 Comdty EDZ5 Comdty EDH6 Comdty EDM6 Comdty EDU6 Comdty EDZ6 Comdty EDH7 Comdty

px last 94.735 94.93 95.135 95.29 95.365 95.38 95.365 95.335 95.285 95.235 95.175 95.135 95.095 95.05 95 94.97 94.935 94.9 94.86 94.83 94.79 94.755 94.715 94.685 94.65 94.615 94.575 94.55 94.515 94.485 94.445 94.425 94.39 94.36 94.325 94.31 94.285 94.26 94.225 94.21

int rate fut start dt 6/20/2007 9/19/2007 12/19/2007 3/19/2008 6/18/2008 9/17/2008 12/17/2008 3/18/2009 6/17/2009 9/16/2009 12/16/2009 3/17/2010 6/16/2010 9/15/2010 12/15/2010 3/16/2011 6/15/2011 9/21/2011 12/21/2011 3/21/2012 6/20/2012 9/19/2012 12/19/2012 3/20/2013 6/19/2013 9/18/2013 12/18/2013 3/19/2014 6/18/2014 9/17/2014 12/17/2014 3/18/2015 6/17/2015 9/16/2015 12/16/2015 3/16/2016 6/15/2016 9/21/2016 12/21/2016 3/22/2017

int rate fut end dt 9/19/2007 12/19/2007 3/19/2008 6/18/2008 9/17/2008 12/17/2008 3/18/2009 6/17/2009 9/16/2009 12/16/2009 3/17/2010 6/16/2010 9/15/2010 12/15/2010 3/16/2011 6/15/2011 9/21/2011 12/21/2011 3/21/2012 6/20/2012 9/19/2012 12/19/2012 3/20/2013 6/19/2013 9/18/2013 12/18/2013 3/19/2014 6/18/2014 9/17/2014 12/17/2014 3/18/2015 6/17/2015 9/16/2015 12/16/2015 3/16/2016 6/15/2016 9/21/2016 12/21/2016 3/15/2017 6/21/2017

fut last trade dt 6/18/2007 9/17/2007 12/17/2007 3/17/2008 6/16/2008 9/15/2008 12/15/2008 3/16/2009 6/15/2009 9/14/2009 12/14/2009 3/15/2010 6/14/2010 9/13/2010 12/13/2010 3/14/2011 6/13/2011 9/19/2011 12/19/2011 3/19/2012 6/18/2012 9/17/2012 12/17/2012 3/18/2013 6/17/2013 9/16/2013 12/16/2013 3/17/2014 6/16/2014 9/15/2014 12/15/2014 3/16/2015 6/15/2015 9/14/2015 12/14/2015 3/14/2016 6/13/2016 9/19/2016 12/19/2016 3/20/2017

7

Table 4: Swap quotes. Tenor, yrs. 1 2 3 4 5 6 7 8 9 10 15 20 30 40 50 Bloomberg ID USSW1 Index USSW2 Index USSW3 Index USSW4 Index USSW5 Index USSW6 Index USSW7 Index USSW8 Index USSW9 Index USSW10 Index USSW15 Index USSW20 Index USSW30 Index USSW40 Index USSW50 Index px last 5.246 5.012 4.958 4.969 4.997 5.032 5.07 5.11 5.147 5.18 5.314 5.373 5.396 5.3835 5.366 Effective Date 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 4/2/2007 Maturity Date 3/31/2008 3/30/2009 3/29/2010 3/29/2011 3/29/2012 3/29/2013 3/31/2014 3/30/2015 3/29/2016 3/29/2017 3/29/2022 3/29/2027 3/30/2037 3/29/2047 3/29/2057

where: m n number of pay periods between t and τ , number of pay periods between t and T ,

assuming that all pay periods have the same length ( and are measured in years, for consistency with rate quotes ). From ( B.1 ) - ( B.6 ), the PV of a forward swap effective between t + τ and t + T as seen at t is

N

S(t + τ, t + T )

= r(t + τ, t + T )∆t

i=m+1

dF (ti ) = γ ∗ r(t + τ, t + T ) (B.7) (B.8)

= S(t, t + T ) − S(t, t + τ ) ,

N

γ∗

=

∆t

i=m+1

dF (ti ) = β ∗ − α∗ .

The implied forward rate deﬁned by ( B.1 ) and ( B.2 ) satisﬁes r(t + τ, t + T ) α β = αr(t, t + T ) + βr(t, t + τ ) , β∗ = , γ∗ α∗ = − ∗ =1−α. γ (B.9) (B.10) (B.11)

8

Table 5: ATM implied swaption volatilities.

9

Fwd dt. 5/2/07 7/2/07 10/2/07 4/2/08 4/2/09 4/2/10 4/4/11 4/2/12 4/2/14 4/3/17

4/2/08 13.25 14.7 16.2 17.4 17.4 16.8 16.5 16.15 15.1 13.55

4/2/09 15.6 16.55 16.95 17.15 16.9 16.4 16.15 15.75 14.7 13.3

4/2/10 15.7 16.4 16.5 16.55 16.45 16 15.8 15.45 14.5 13.15

4/4/11 15.65 15.95 16.1 16.05 15.95 15.7 15.45 15.15 14.25 13

4/2/12 15.45 15.45 15.5 15.54 15.6 15.3 15.1 14.9 14 12.9

4/2/14 14.45 14.7 14.75 14.7 14.9 14.7 14.5 14.2 13.55 12.55

4/3/17 13 13.5 13.6 13.63 13.9 13.9 13.7 13.55 12.95 12.1

4/2/19 12.95 13 13.2 13.35 13.55 13.6 13.35 13.15 12.45 11.55

4/4/22 12.45 12.6 12.85 12.9 13.2 13.25 13 12.8 11.95 11

4/2/27 12 12.25 12.35 12.5 12.8 12.7 12.6 12.5 11.7 10.8

4/2/32 11.9 12.15 12.35 12.35 12.6 12.55 12.4 12.3 11.5 10.7

4/2/37 11.7 11.9 11.9 12.2 12.4 12.3 12.2 12.1 11.3 10.55

**For the corresponding interest rate volatilities we have [4]:
**

2 σt+τ,t+T

=

2 2 α2 σt,t+τ + β 2 σt,t+T + 2αβσt,t+τ σt,t+T ρt;τ,T ,

(B.12)

where σt1 +δt,t2 is the implied forward swaption volatility at time t1 of forward interest rate effective between t1 + δt and t2 . The respective correlation coefﬁcient is: ρt;τ,T =

2 2 2 σt+τ,t+T − α2 σt,t+τ − β 2 σt,t+T . 2αβσt,t+τ σt,t+T

(B.13)

References

[1] F. Black. The pricing of commodity contracts. Journal of Financial Economics, 3:167–179, 1976. [2] FINCAD Financial Corporation. Support and Reference, 2007. http:// fincad.com/default.asp?id=17300&s=Support&n=References. [3] F. Fabozzi. The Handbook of Fixed Income Securities. McGraw-Hill, 7th edition, 2005. [4] W. Feller. An Introduction to Probability Theory and Its Applications, volume 1. John Wiley & Sons, 3rd edition, 1968. [5] P. Glasserman. Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (Hardcover). Springer-Verlag, New York, 2004. [6] M. Matsumoto and T. Nishimura. Mersenne twister: A 623-dimensionally equidistributed uniform pseudorandom number generator. ACM Transactions on Modeling and Computer Simulation, 8(1):3–30, January 1998. http://www.math. sci.hiroshima-u.ac.jp/˜m-mat/MT/ARTICLES/mt.pdf. [7] P. Miron and P. Swannell. Pricing and Hedging Swaps. Euromoney Books, 1991.

10

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