| It is currently Sat May 09, 2026 9:15 am |
This is the contractually specified interest rate paid on the collateral. If Party A holds the collateral ( ), they must pay this rate back to Party B. The "Zero-Cost" Principle:
Piterbarg, V. (2010). Cooking with Collateral. Risk Magazine , December, 58-63. piterbarg cooking with collateral pdf 14
Because the mark-to-market (MTM) value is perfectly offset by the collateral posted, the net cost to terminate the contract at any time is effectively zero. Funding Invariance: This is the contractually specified interest rate paid
Since you are looking for “pdf 14”, you likely want a specific version. Here is how to obtain it correctly: piterbarg cooking with collateral pdf 14