Financial crisis aftermath: Mexican interest rate swaps pricing revolutionized with new model.
The article discusses how the financial crisis changed interest rates and the need to update models for Mexican swap markets. The researchers used a model to value derivatives with collateral currencies like USD, EUR, and MXN. They created discounting and projection curves for MXN interest rate derivatives and compared pricing with and without collateral. The study shows how cross-currency swaps affect pricing with different collateral currencies.