Marketing Research on Selected Two Major Competing Brands Essay

Marketing Research on Selected Two Major Competing Brands - Essay Example As the paper stresses the marketing case study analysis of the Google Inc presented by Abt had demonstrated the marketing programs of Google precisely. Taking insights from his work, the most important facet of Google’s marketing program is that it aims to make its applications and products accepted by all the market segments. Another important aspect of Google is that it allows both private and non-profit organization to use this search engine at absolutely free of cost. It is of no surprise to mention that Google works on the marketing motto that information gathering is a phenomenon of individuals, non-profit organizations and small and large businesses. This discussion declares that the external environment of Google is dynamic in nature and thus also provides opportunities and threats to the search engine. Google is on high demand and to remain competitive in this dynamic environment, it needs to predict the changes and accordingly adapt systems, cultures, strategies and also the process of alignment with the changes. In this respect, Google until now has undertaken several changes like that of the decision taken by Larry Page to step down from the role of Vice President and make Eric Schmidt the front man for Google (CEO). This indicates that Google follows dynamic strategies within its internal environment to cope up with the ever changing external environment. Google holds the top most position in the web and this position allows it to control any of the growth areas. Google has been so far applying marketing penetration strategies in the web industry for remaining on top. Free exposure and free benchmarking are some of the stra tegies that have been helping Google over the years. They always keep themselves aware of the competitive positioning and this trait of the company helps in achieving the competitive advantage over other competitors. The strongest element of Google’s marketing mix is their ‘universal search product’. This element always allows Google to either vote for or against any form of information and it is believed that this product type of Google is the ultimate generator of its

Samsung Electronics Essay Example for Free

Samsung Electronics Essay Samsung Electronics, one of the largest semiconductor manufacturers. It is also South Korea’s top electronic company. It makes many kinds of consumer devices, including DVD players, digital TVs, and digital still cameras; computers, color monitors, LCD panels, and printers; semiconductors such as DRAMs, static RAMs, flash memory, and display drivers; and communications devices ranging from wireless handsets and smartphones to networking gear. The company, which is the flagship member of Samsung Group, also makes microwave ovens, refrigerators, air conditioners, and washing machines. Nearly half of sales come from the Asia/Pacific region. II. Situational Analysis (TOWS) Threats 1) Relentless deflation 2) Rivals can buy similar technologies from other vendors without tying up capital or making long term commitments. 3) Chinese companies keep driving prices ever lower, leveraging super cheap wages and engineering talent. 4) Direct and strong Competitors (Apple Computer Inc., Motorola Inc., Sony Corp., Nokia, etc.) in a tough environment 5) Korea’s slumping economy─ and in China and other Asian countries struck by SARS epidemic.| Opportunities 1) Venture into new markets 2) Proliferate production outputs 3) Increase capitalization| Weaknesses 1) Too many diversified products 2) Inevitability to decrease price 3) Life cycle of hardware goods is brutally short and subject to relentless commoditization.| Strengths 1) Using the latest and high-end technologies in manufacturing and creating new products (CDMA, DRAM, DLP and NAND) 2) Excellent RD capabilities 3) Fewer layer of bureaucracy 4) Vertically Integrated 5) Diversified product lines 6) Competent employees| III. Hierarchy of Objectives IV. Hierarchy of Problems V. Analytical Tool: TOWS Matrix Internal External| Strengths 1) Using the latest and high-end technologies in manufacturing and creating new products (CDMA, DRAM, DLP and NAND) 2) Excellent RD capabilities 3) Fewer layer of bureaucracy 4) Vertically integrated 5) Diversified product lines 6) Competent employees| Weaknesses 1) Too many diversified products 2) Inevitability to decrease price 3) Life cycle of hardware goods is brutally short and subject to relentless commoditization.| Opportunities 1) Venture into new markets 2) Proliferate production outputs 3) Increase capitalization| S-O * Entering into the software business (S1, S2, S5, O1) * Outsource manufacturing (O2) * Attract more investors (S1, S2, S3, O3) * Exploratory technology development strategy, specifically with respect to the engineering design and prototyping effort (S1, S2, S5, S6, O1 ) * improve the control of cost, quality and delivery times of inputs in order to master vertical integration (S3, S4, O2)| W-O * Continuously tap into and augment e xisting technologies and quick application as soon as new concepts are realized (W1, W3, O1, O3) * To keep sales growing by adding new features, targeting additional segments and adjusting prices (W1, W2, W3, O1, O3)| Threats 1) Relentless deflation 2) Rivals can buy similar technologies from other vendors without tying up capital or making long term commitments. 3) Chinese companies keep driving prices ever lower, leveraging super cheap wages and engineering talent. 4) Direct and strong Competitors (Apple Computer Inc., Motorola Inc., Sony Corp., Nokia, etc.) in a tough environment 5) Korea’s slumping economy─ and in China and other Asian countries struck by SARS epidemic.| S-T * Motivate employees through incentives and by offering better compensation packages. (S5, T4) * Leveraging core competencies (S1, S2, S4, T2, T4) * Initiate CSR (Corporate Social Responsibility) programs. (S5, T5) * Focus on Vertical Integration and hardware (S1, S4, S5, T2, T3, T4)| W-T * Aggressive marketing efforts (Advertisements) to create custom er awareness (W1, W2, W3, T2, T3, T4, T5 ) * Clear differentiation and value added pricing (W1, W2, W3, T4) * Realistic profit-based pricing (W2, T3, T4)| VI. Alternative Courses of Action Alternative Coursesof Actions| Description| Pros| Cons| 1. Improve profits to keep up with sales| * adding new features, targeting additional segments and adjusting prices * to intensify marketing efforts| * greater market share * increase in profit * improve brand awareness * threatens competitors| * Increase marketing expenses * Opportunity costs financially in the other functional areas.| 2. Venturing into the software business| * aside selling hardware, Samsung could also develop proprietary software (applications, games and other multimedia)| * Higher margins * Long lead time over rivals * Thriving into a new market segment| * Copyright infringement that can stain Samsung’s brand * Additional capital outlay * High barrier to entry| 3.Aggressive marketing efforts (Advertisements) to create customer awareness| * Aggressive marketing is the back bone of any company to grow. As a matter of fact what determines performance of any company, organization is their MARKETING method .| * Increase consumer awareness globally * Increase in sales * Larger market share * Attracts/Rise in profits * Improve long-term profits * Could gain competitive advantage over competitors * helps in improvement of the quality of the goods * information of products are readily available| * Increasing advertising increases the costs of doing business and cuts into your bottom line. * might jeopardize short-term revenues| VII. Chosen Alternatives * Aggressive marketing efforts (Advertisements) to create customer awareness VIII. Implementation/Action Plan Activities| OVI| Means of Verification| Person- in-Charge(Division, Department, Agency)| Resource Requirement| 1. Meeting with top-level managers on coming up with an excellent marketing proposal| * Approved new marketing proposals| * Minutes of the meeting| * Yun, CEO; BOD’s and executive officers| * HR * Time| 2. Department heads will meet and inform their subordinates (especially the RD and Marketing Dept.) on the changes| * Acceptance and participation of Department heads and subordinates| * Memorandum, a written document signed by the top-level committees| * Department heads and their respective subordinates| * HR * Time| 3. Marketing department will implement the new and approved proposal| * Increased product exposure | * Marketing paraphernalia (Printed ads. And materials)| * Marketing Department| * Financial * Marketing materials| 4. Monitor and evaluate results through sales and profits| * Financial Analysis| * Financial statements, account records| * Both Marketing a nd Finance department| * Book of Accounts * Time * HR * Information System|

The Problem Of Evil By John Hick | Analaysis

The Problem Of Evil By John Hick | Analaysis In this final paper I review the contemporary issue The Problem of Evil by John Hick on pages 143 to 147 of the Burr Goldfinger text. Hick has four main points in his article. First, that within the Christian doctrine there is no dilemma concern the existence of Evil because Second, the concept of Evil is necessary for the measuring of actions so that Third, human souls can choose to move nearer or farther from God, meaning that Fourth, our existence and world is a type of soul factory measuring and creating souls that are worthy to the presence of God. Some quick internet searches on John Hick reveals that he is a very well respected and prolific writer on the topic of God, Philosophy, Theology, and the relationship of Religion and Science (http://www.johnhick.org.uk/jsite/). Further he has several advanced degrees from some very prestigious universities to include a doctorate of philosophy from Oxford University and a doctorate in literature (or Letters it is not clear) from the University of Edinburgh. Hicks clear writing style and excellent arguments have clearly earned him a place of prominence within high academic circles. This article is in the section concerning God Religion. What is especially interesting, and suggests the overall quality of the thinking, is that Hick is able to turn the tables on an argument that at one time seemed to put a nail in the coffin of theology. Until reading this article, I did struggle with the dilemma of Evil against the existence of God. At first blush and even with some deeper inquiry they do seem to be at odds. These are reasonable questions: If God is all powerful and all good, why does Evil exist? Why do bad things happen to good people? And so on. Through a well thought out argument Hick addresses this, and further suggests, cleverly being able to stay within the theology and thinking of Christian doctrine, that a creator God given the goals and temperament of the Christian God, would see Evil as a necessary requirement for a world designed to create souls worthy of His presence. Summary of Article Hick has written an extensive essay outlining a philosophical argument suggesting that it is not a contradiction to believe in a Christian version of God while still acknowledging the existence of Evil in its many forms. The dilemma he is arguing against is the idea that a perfectly loving creator God would not allow, or would abolish Evil from his created world. Since we can see that Evil clearly exists, it is reasonable to assume that either there is no creator God, God is not Omni-powerful, or God must not be perfectly loving (Goldinger and Burr 143). Hick goes on to summarize Augustine, who defined Evil as a distortion of something valuable; a movement away from God by humans (Goldinger and Burr 144). This is an important distinction because it suggests that Christian doctrine does not dismiss Evil, but identifies it as having meaning and purpose within the realm created by God. It identifies direction of the soul against actions, where good actions move a soul closer to God and evil actions move a soul farther away from God. Further, Hick summarizes the Christian viewpoint of the creation of the earth not of an absolute paradise created by God for his human creations to dwell in, but as a soul factory creating believers and preparing souls to enter the presence of God (Goldinger and Burr 146). To this end, Hick suggests that a perfect world would neither serve as a vehicle to produce souls worthy of Heaven, nor be a consistent and logical place for free-willed humans to dwell. Too much inconsistency would be necessary, for example should someone fall from a height that would break their back, gravity would have to change characteristics such that the fall would not hurt them, less they suffer the pain of the injury, and so on, several of these types of analogys are offered. He further offers that without Evil there would be no measuring stick to understand good and Just actions. To that end Hick summarizes his argument by saying that the existence of Evil fits perfectly into a theological model that accepts both free will, and the ability to measure a persons soul against the actions and choices they make, where worthy souls choose good actions that move them closer to God and unworthy souls choose actions that are Evil and move then away from God. Philosophical Critique As pure philosophy goes this article is actually one of the best explanations I have ever read concerning the problem of evil within a Christian theological framework. Its underlying premise is that our world as created by God is a type of soul factory, and when viewed as such can only make logical sense is real choices can be made by us, many with the consequence of evil and harm to others. Further, within these context natural disasters that bring evil upon people is necessary, for without itself sacrifice, heroism, and true goodwill could not be attempted or offered by people, thus denying any true measurement or preparedness of the human soul to be in the presence of God. Without evil human souls would not be able to learn from their actions, observe the actions of others, and make choices that allow them to either move nearer or farther from God. If the world we created such that any choice we made could never bring evil on another, and never provide a consequence to the choice we make, our souls would never develop beyond that of spoiled children. Touch choices and touch consequences are necessary in a world designed as a proving ground for the soul. Further, without the necessary context of evil we would not be able to contemplate the true divinity of God nor of our own existence. There would be no reason to attempt any endeavor or any type beyond pure self-gratification. Since evil is necessary for the measuring of our actions within the constructs of the world as a soul factory, the reality of Evil is necessary for a creator God looking to produce real creations, and not simple automatons that are capable of evolving into something more. All of this does not justify evil actions, or provide any type of moral platform for anyone to justify an evil action, it simply provides necessary context for us to understand the reasons for our choices and why it is important to make choices that move us closer to God. What is especially interesting about this argument is that it turns the dilemma concern the existence of Evil and the existence of God on its ear, and takes an argument that at one time was believed and held onto by anti-Christians as an absolute proof against the existence of God, and makes it a pretty good argument FOR the existence of God. Not only does it dispel the dilemma, it builds on it in a very interesting way and argues that no real creator God would even consider designing a world without evil, given the other theological elements of Christianity. Conclusion Upon reviewing the arguments presented in The Problem of Evil by John Hick on pages 143 to 147 of the Burr Goldfinger text and Hicks has four main points, you discover a very well thought out and logical philosophical argument that seems to hold in both logical construct and keep its underlying assumption valid within the necessary area of Christian doctrine. The idea that God created the world as a soul factory is supported by the concept of freewill and choice, and the measurement of choice within a reality with real choices and real consequences. Upon close examination this is not a dilemma concerning the existence and nature of God, but a reassurance that Christianity is in fact based upon a rational view of the world and that it can be defended using logic and sound reason. This article interested me very much and I will be going out and purchasing some other books by Hick to see if he is able to put together complete tombs that are as well thought out and as interesting as this article was. Given that he has published over 20 books and given his academic appointments, I suspect I am in for a fun bit of reading.

Francis Parkman :: essays research papers fc

Many people regarded nature and the world with their eyes only. However, some perceived the world through all their senses. They stopped and listened to what appeared before them, and then they experienced their surroundings. One person who looked beyond his first impression was Francis Parkman. Parkman’s love for history and nature drove him to overcome his physical weaknesses. He pursued his passion with the diligence of a soldier and brought a different perspective to nineteenth century history. Francis Parkman traveled across North America and obtained firsthand experiences about nature, hardships, and the unknown. He developed his quest for knowledge as a child on the Hall Farm in Quincy, Massachusetts. Parkman battled the degenerating loss of his health, the loss of only son, and the loss of his wife. He compiled his wisdom in letters, journals, articles, and books; and Parkman left a legacy unmatched by historians of his time. On September 16, 1823, the union of Reverend Francis Parkman and Caroline Hall Parkman produced a son, Francis Parkman, Jr. The Reverend and Mrs. Parkman, his second wife, resided in Somerset Place, Boston, and the family tree consisted of ministers, merchants, philanthropists, and brave Indian fighters. The Parkman family spent winters in Boston and summers at the Hall farm in Quincy, Massachusetts. The farm in Quincy provided Parkman with a vast area of rocks and forestry to explore, since it happened to be located adjacent to the Five Mile Woods, later renamed the Middlesex Fells. He encountered many illnesses in Boston, and his parents decided to leave him in his grandparents’ care on the farm. On the farm he collected rocks, trapped animals, shot arrows at birds, and conducted experiments. He wrote about himself and his experiments in the third person just as his peer, Henry Adams, regularly did. Parkman returned home to his parents at age thirteen to begin private school ing. Parkman attended Gideon Thayer’s famous private school, Chauncey Hall, in order to prepare for college at Harvard. He entered Harvard in August 1940, and he excelled academically, physically, and socially. In addition to his regular studies, Parkman joined several school clubs and helped found another one. In July 19, 1841, during summer break from Harvard, he and Daniel Denison Slade took a trip to explore the White Mountains located in New Hampshire and Maine. Parkman, aware of an avalanche that killed nine in 1826, eagerly climbed the unstable flume close to Notch House.

Indian Constitution

The Constitution of India has some distinct and unique features as compared to other constitutions to the world. As Dr. B. R. Ambedkar, the Chairman of the Drafting Committee puts it, the framers had tried to accumulate and accommodate the best features of other constitutions, keeping in view the peculiar problems and needs of our country. The following are the salient features of the Constitution of India. 1. Longest written constitution Indian Constitution can be called the largest written constitution in the world because of its contents.In its original form, it consisted of 395 Articles and 8 Schedules to which additions have been made through subsequent amendments. At present it contains 395 Articles and 12 Schedules, and more than 80 amendments. There are various factors responsible for the long size of the constitution. One major factors was that the framers of the constitution borrowed provisions form several sources and several other constitutions of the world. They have fol lowed and reproduced the Government of India Act 1935 in providing matters of administrative detail.Secondly, it was necessary to make provisions for peculiar problems of India like scheduled castes, Scheduled Tribes and backward regions. Thirdly, provisions were made for elaborate centre-state relations in all aspects of their administrative and other activities. Fourthly, the size of the constitution became bulky, as provisions regarding the state administration were also included. Further, a detail list of individual rights, directive principles of state policy and the details of administration procedure were laid down to make the Constitution clear and unambiguous for the ordinary citizen.Thus, the Constitution of India became an exhaustive and lengthy one. (2) Partly Rigid and Partly Flexible The Constitution of India is neither purely rigid nor purely flexible. There is a harmonious blend of rigidity and flexibility. Some parts of the Constitution can be amended by the ordinar y law-making process by Parliament. Certain provisions can be amended, only when a Bill for that purpose is passed in each house of Parliament by a majority of the total membership of that house and. by a majority of not less than two-third of the members of that house present and voting.Then there are certain other provisions which can be amended by the second method described above and are ratified by the legislatures of not less than one-half of the states before being presented to the President for his assent. It must also be noted that the power to initiate bills for amendment lies in Parliament alone, and not in the state legislatures. Pundit Nehru expressed in the Constituent Assembly, â€Å"While we want the Constitution to be as solid and permanent as we can make it, there is no permanence in Constitution. There should be certain flexibility.If you make anything rigid and permanent, you stop the nation’s growth, the growth of a living, vital organic people. † 3) A Democratic Republic India is a democratic republic. It means that sovereignty rests with the people of India. They govern themselves through their representatives elected on the basis of universal adult franchise. The President of India, the highest official of the state is elected for a fixed term. Although, India is a sovereign republic, yet it continues to be a member of the Commonwealth of Nations with the British Monarch as its head.Her membership of the Commonwealth does not compromise her position as a sovereign republic. The commonwealth is an association of free and independent nations. The British Monarch is only a symbolic head of that association. 4) Parliamentary System of Government India has adopted the Parliamentary system as found in Britain. In this system, the executive is responsible to the legislature, and remains in power only as long and it enjoys the confidence of the legislature. The president of India, who remains in office for five years is the nomina l, itular or constitutional head. The Union Council of Ministers with the Prime Minister as its head is drawn from the legislature. It is collectively responsible to the House of People (Lok Sabha), and has to resign as soon as it loses the confidence of that house. The President, the nominal executive shall exercise his powers according to the advice of the Union Council of Ministers, the real executive. In the states also, the government is Parliamentary in nature. 5) A Federation Article 1 of the Constitution of India says: – â€Å"India, that is Bharat shall be a Union of States. Though the word ‘Federation' is not used, the government is federal. A state is federal when (a) there are two sets of governments and there is distribution of powers between the two, (b) there is a written constitution, which is the supreme law of the land and (c) there is an independent judiciary to interpret the constitution and settle disputes between the centre and the states. All the se features are present in India. There are two sets of government, one at the centre, the other at state level and the distribution of powers between them is quite detailed in our Constitution.The Constitution of India is written and the supreme law of the land. At the apex of single integrated judicial system, stands the Supreme Court which is independent from the control of the executive and the legislature. But in spite of all these essential features of a federation, Indian Constitution has an unmistakable unitary tendency. While other federations like U. S. A. provide for dual citizenship, the India Constitution provides for single citizenship. There is also a single integrated judiciary for the whole country.The provision of All India Services, like the Indian Administrative Service, the India Police Service, and Indian Forest Service prove another unitary feature. Members of these services are recruited by the Union Public Service Commission on an All-India basis. Because th ese services are controlled by Union Government, to some extent this constitutes a constraint on the autonomy of states. A significant unitary feature is the Emergency provisions in the Indian constitution. During the time of emergency, the Union Government becomes most powerful and the Union Parliament acquires the power of making laws for the states.The Governor placed as the constitutional head of the state, acts as the agent of the centre and is intended to safeguard the interests of the centre. These provisions reveal the centralising tendency of our federation. Prof: K. C. Wheare has rightly remarked that Indian Constitution provides, â€Å"a system of government which is quasi-federal, a unitary state with the subsidiary unitary features†. The framers of the constitution expressed clearly that there exists the harmony of federalism and the unitarism. Dr.Ambedkar said, â€Å"The political system adopted in the Constitution could be both unitary as well as federal accor ding to the requirement of time and circumstances†. We can say that India has a â€Å"Cooperative federalism† with central guidance and state compliance. 6) Fundamental Rights â€Å"A state is known by the rights it maintains†, remarked Prof. H. J. Laski. The constitution of India affirms the basic principle that every individual is entitled to enjoy certain basic rights and part III of the Constitution deals with those rights which are known as fundamental rights.Originally there were seven categories of rights, but now they are six in number. They are (i) Right to equality, (ii) Right to freedom, (iii) Right against exploitation, (iv) Right to freedom of Religion, v) Cultural and Educational rights and vi) Right to constitutional remedies. Right to property (Article-31) originally a fundamental right has been omitted by the 44th Amendment Act. 1978. It is now a legal right. These fundamental rights are justiciable and the individual can move the higher judiciar y, that is the Supreme Court or the High Courts, if there is an encroachment on any of these rights.The right to move to the Supreme Court straight for the enforcement of fundamental rights has been guaranteed under Article 32 (Right to Constitutional Remedies). However, fundamental rights in India are not absolute. Reasonable restrictions can be imposed keeping in view the security-requirements of the state. 7) Directive Principles of State Policy A novel feature of the Constitution is that it contains a chapter in the Directive Principles of State Policy. These principles are in the nature of directives to the government to implement them for establishing social and economic democracy in the country.It embodies important principles like adequate means to livelihood, equal pay for both men and women, distribution of wealth so as to subserve the common good, free and compulsory primary education, right to work, public assistance in case of old age, unemployment, sickness and disable ment, the organisation of village Panchayats, special care to the economically back ward sections of the people etc. Most of these principles could help in making India welfare state. Though not justiciable. These principles have been stated a; â€Å"fundamental in the governance of the country†. ) Fundamental Duties A new part IV (A) after the Directive Principles of State Policy was incorporated in the constitution by the 42nd Amendment, 1976 for fundaments duties. These duties are: i) To abide by the Constitution and respect its ideals and institutions, the National Flag and the National Anthem; ii) To cherish and follow the noble ideals, which inspired our national struggle for freedom; iii) To uphold and protect the sovereignty, unity and integrity of India; iv) To defend the country and render national service when called upon to do o; v) to promote harmony and the spirit of common brotherhood amongst all the people of India transcending religious, linguistic, regional or sectional diversities, to renounce practices derogatory to the dignity of woman; vi) to value and preserve the rich heritage of our composite culture; vii) to protect and improve the natural environments including forests, lakes, rivers and wild life and to have compassion for living creatures; viii) to develop scientific temper, humanism and the spirit of inquiry and reform; x) to safeguard public property and to abjure violence; x) to strive towards excellence in all spheres of individual and collective activity so that the nation constantly rises to higher levels of Endeavour and achievement. The purpose of incorporating these duties in the Constitution is just to remind the people that while enjoying their right as citizens, should also perform their duties for rights and duties are correlative. 9) Secular State A secular state is neither religious nor irreligious, or anti-religious.Rather it is quite neutral in matters of religion. India being a land of many religions, the f ounding fathers of the Constitution thought it proper to make it a secular state. India is a secular state, because it makes no discrimination between individuals on the basis of religion. Neither it encourages nor discourages any religion. On the contrary, right to freedom of religion is ensured in the Constitution and people belonging to any religious group have the right to profess, practice or propagate any religion they like. 0) An Independent Judiciary The judiciary occupies an important place in our Constitution and it is also made independent of the legislature and the executive. The Supreme Court of India stands at the apex of single integrated judicial system. It acts as protector of fundamental rights of Indian citizens and guardian of the Constitution. If any law passed by the legislature or action taken by the executive contravenes the provisions of the Constitution, they can be declared as null and void by the Supreme Court.Thus, it has the power of judicial review. Bu t judicial review in India constitutes a middle path between the American judicial supremacy in one hand and British Parliamentary supremacy in the other. 11) Single Citizenship The Constitution of India recognises only single citizenship. In the United States, there is provision of dual citizenship. In India, we are citizens of India only, not of the respective states to which we belong. This provision would help in promoting unity and integrity of the nation.

Thucydides essays

Thucydides essays Thucydides was one of the greatest Greek historians of the ancient Greeks. He did most of his work around 400 B.C. and he was a citizen of Athens. He was most famous for his History of the Peloponnesian War. He fought in the war and became a general. The war lasted for 27 years, from 431 to 401 B.C. In Thucydides opinion he thought that the Greeks fought the hardest they ever had during the war. The Peloponnese was the southern part of Greece controlled by Sparta. During this war Athens, the biggest and greatest city-state of in ancient Greece, was attack by the Spartans and the Persians. Athens was taxing and taking the money of the other city-states of Greece and many city-states were mad so they asked Sparta to help stop Athens. The Persians had tried and failed twice already trying to destroy Athens. The war lasted for 27 years, 431 B.C. to 404 B.C. This is Thucydides' thought of why the war started. He tried to do his best in finding and recording facts and people from the war. So he visited the battlefields and talked survivors of the war. His main goal was to try not to be biased about what his findings. In 424 B.C. Thucydides was a general and commanded Athenian forces in thrace, where operated mining. He was exiled from the city because he was accused of failing to protect the city of Amphilpolis. Thucydides was banished from Athens. During his exile he worked on his history, and wrote about the Peloponnesian war and had a brilliant account of the war as events unfolded. He returned to Athens in 404 B.C. Most of all of our knowledge of the Peloponnesian war came from the writings of Thucydides. His best-known writing was called the History of the Peloponnesian War, which consists of eight books. In the books he wrote of the first 20 years of the war. He died before he was able to finish writing about the last 7 years of the war. The knowledge about the life of Thucydides is incomplete. Very little about the second hal...

Communication And Race Essays - Discrimination, Racism, Hatred

Communication And Race Essays - Discrimination, Racism, Hatred Communication And Race The most critical aspects of media performance with regards to race and ethnicity are issues that relate to the quality of its representation of the lives of people of color. Accuracy and diversity are aspects of media performance that will allow for a careful evaluation of how it represents people of color. Evaluating media performance is important because of the utilization and reliance on the mass media for much of society's reflexive monitoring and evaluation of reality. The performance of mass media is important in regards to race and ethnicity because the mass media are the primary source of indirect or mediated experiences that reinforce racial attitudes and beliefs that are integrated into cognitive structures (Gandy, 1998). Thus, mass media can be viewed as places where reality is constructed and racism may be reproduced. Accuracy Accuracy is an important aspect of media performance to consider in assessing the quality of its representation of the lives of people of color because of its assumed consequences of developing self-image and personal identity and its reflection of social reality that informs social policy (Gandy 1998). Shan and Thorton (1994) state that previous research of minority groups has shown that minorities are sometimes depicted as being violent, primitive, and politically unsophisticated. Furthermore, they postulate that certain types of behaviors among minorities may be understood by whites as pathological or deviant because of how the news media represent them. This representation is inaccurate because it ignores historical context and structural explanations for social trends. In addition, Shan and Thorton state that newsmagazines reproduce racism by perpetuating a racial hierarchy carried out by mainly whites and consumed by mainly whites that positioned blacks at the bottom. Entman (1990) found that local news stimulated the production of modern racism. Violent crimes committed by blacks was the largest category of local news. Of the eight times in which blacks were subjects of lead stories, six described violent crimes. In addition, blacks were shown as being more dangerous than whites. Entman states that accused blacks were usually illustrated by glowering mug shots or by footage of them being led around in handcuffs, their arms held by uniformed white policemen. Salwen and Soruco (1997) state that images of Mexicans in the press reflect racial stereotypes. The researchers point out examples in US press where Mexicans were labeled as wetbacks and associated with causing destruction by introducing one of the world's most destructive insect pest. Gandy (1998) states that blacks are often portrayed as violent criminals. If they are portrayed in human-interest stories, these stories rely upon negative stereotypes. Like Entman and Gandy finding that minorities (blacks) experience inaccurate portrayals of being violent, Salwen and Soruco also report that Hispanics were framed in crime stories more frequently. Astroff (1989) conclude that mass media tends to reproduce or participate in the reproduction of inaccurate representations, stereotypes, of Latinos. US Latinos were transformed into Spanish Gold through the redefinition of (not the elimination of) traditional stereotypes. These stereotypes of Latinos were reinterpreted for the use of explanations of consumer behavior yet there was not any significant change, moving to a more accurate depiction, in the representation of Latinos in mainstream media. Diversity The concept of diversity is a multidimensional one. The FCC sought to promote diversity under two headings: one of maximizing consumer choice; the other of serving the public interest by ensuring an appropriate range of service from broadcasting and fairness in giving access and attention to minority groups. Diversity of program content, accessible to all segments of the audience, is necessary to insure quality representation of the lives of people of color. One of the goals of the media should be to represent or reflect the prevailing differences of culture, opinion, and social conditions of the population as a whole. The degree of correspondence between the diversity of the society and the diversity of media content is the key to assessing media performance. Diversity must be at the media content level and at the media system level and must promote racial proportionality and representation. Entman (1990) demonstrated that blacks were misrepresented in local news coverage. So-called bad news was often thought more newsworthy than good news and ethnic minority members were differentially more

Good Essay

Good Essay Good Essay Good Essay Good writers are not born, they are trained. Similarly, good essays are written with inspiration and patience.   Yes, you cannot write a good essay rushing through writing.   You should give your mind an opportunity to think about the topic, to generate supporting details, to organize your writing, and proofread the drafts.   Below is the short sample of good essay.   Do not copy it!   Read it and make notes.   Pay attention to the sentence structure and paragraphing. If you need help with your own writing, do not hesitate to request professional essay writing help at our site.   Our essay writing services are affordable, legal, and absolutely confidential.   There is also a free blog with numerous sample essays, term papers, research papers and much in our writing blog. Good Essay Sample Any attempt to understand the female preponderance in depression must explain both the long-term and the short-term trends. Conventional explanations have assumed that the female preponderance in depression has been a long-term trend. Most of the studies do support this, and the data that exist from the nineteenth century indicate a female preponderance of depression. These enduring trends can be interpreted as supporting either the biological or the social status theories. On the other hand, recent evidence suggests short-term trends. There has been an increase in the rates of depression, especially among young women, manifested by rising suicide attempt rates among young women and by high attendance by women at psychiatric outpatient clinics. This has prompted speculation about the possible role of recent historical changes, especially the presumed pathogenic pressures of modern life. Rising expectations, increased life events, separations, and loss of attachment bonds are all risk factors of depression that have been suggested as mechanisms by which social change can be psychic stressors. These stressors are proposed to have a greater impact on women because of their more vulnerable social position. Rate increases in depression have been reported to have occurred during earlier periods of rapid social change. Schwab has pointed to possible historical parallels to the current era in late Elizabethan and early seventeenth-century England, when depression was described to have reached epidemic proportions. Similarly, Rosen, citing the example of late eighteenth-century England, quotes Edgar Shepherd who, attributing the rise in mental illness to the "wear and tear of a civilization," speculated on the reasons for the differential prevalences of mental disorder between the sexes. Rising expectations, access to new opportunities, and efforts to redress the social inequalities of women have been suggested as further explanation for the recent increase in depression among women. Depressions may occur not when things are at their worse, but when there is a possibility of improvement and a discrepancy between one's rising aspirations and the likelihood of fulfilling these wishes. The women's movement, governmental legislation, and efforts to improve educational and employment opportunities for women have created higher expectations. Social and economic achievements often have not kept pace with the promises, especially in a decreasing job market and where long-standing discriminatory practices perpetuate unequal opportunities. These new role expectations may also create intrapsychic personal conflicts, particularly for those women involved in traditional family tasks but who also desire employment and recognition outside the family. Good Essay Writing Service If writing is a nightmare for you, do not panic! We offer a solution - customized assistance. Our writing service is individual. It means that your essay is written from scratch by an experienced and responsible writer who meets deadlines and follows instructions.   Your completed essay will not be posted online, never!   We guarantee confidentiality and unlimited revisions.

The accreditation process for criminal forensic laboratories Research Proposal

The accreditation process for criminal forensic laboratories - Research Proposal Example Probably one of the most significances advances in forensic technology evolved from one of the most significant tragedies of our history: the attack on the World Trade Center in New York City, 9/11. "After the terrorist strikes, 21,741 remains were recovered. So far, 11,989, or 55 percent, have been identified. More than 1,100 of New York's 2,750 victims have not been identified because many of the remains were too badly compromised by heat and time . . ." (Frasier). Today, years after the attack, identification of victims through DNA technology is still going on. Much of this work is being done at a private lab in Ann Arbor, Michigan called Gene Codes Corp. Gene Codes Corp's founder and CEO, Howard Cash calls his work, "the most important thing I'll ever do in my professional life" (Detroit Free Press). Cash's company has also worked to identify victims of the tsunami in Asia, and the London subway bombings. "Cash and his colleagues created software they called MFISys (pronounced EM PHASIS), for mass fatality identification, for the 9/11 project. It compared data from three types of DNA tests on 20,000 partial human remains to the DNA from more than 3,000 cheek swabs of victims' kin and 8,000 personal effects. They updated the software nearly 140 times . . ." (detroit free press). In June of 2008 another victim of the attack has been identified through remains recovered in the past two years in and around Ground Zero, according to the AP. "Examiners made the identification in the past two days after retesting remains from the original recovery effort following the attacks on the World Trade Center" (Frasier). The use of forensic DNA technology is considered critical to the execution of justice in today's world. Both the science of DNA and the lens through which forensic science has been scrutinized have evolved since it was first used to identify a suspect in the rape and murder of two young women in Leicester, England in the mid 1980's (Presley, 1999). Soon after its landmark use in Europe, DNA technologies have become more sophisticated and more widely used in forensic settings in the United States, yet it was decades after its first admission in court that the laboratories responsible for the analysis of the evidence were accredited by a professional organization. For these reasons, the use of DNA technology has been at the heart of the push for accreditation for all criminal forensic laboratories and while these practices became standard in the courtroom relatively early in their history, they were not without controversy. In fact, it was the controversy which initially led to the accreditation process. In an article in the Journal of Law, Medicine and Ethics, Paul Giannelli wrote about the 1989 Supreme Court case "People V. Castro". This case was one of the first to criticize DNA evidence as it was presented in court. What was successfully argued in this particular case was the " . . . DNA evidence testing laboratory failed in its responsibility to perform the accepted scientific techniques . . ." (Giannelli, 2006). It is important to note that the science of DNA technology was not called into question; it was the methods used by the laboratory that resulted in the conviction being overturned. Over half a century before the Castro case, another legal decision,

Marketing to Uncle Sam- Contract administration and management Essay

Marketing to Uncle Sam- Contract administration and management - Essay Example A good example of an aspect that has been developed for vendors by GSA is the Vendor Toolbox. This entails a collection of resources that assist the vendors in deciding whether having a GSA Schedule is their priority (Stanberry, 2012). A Vendor Toolbox is made up of three major steps. These include research, analyze and decide. One of the notable methods that I would use to market my products or services to the US government is through internet. In its effort to ensure effective communication and coordination among its agencies, the US government has ensured that every federal agency has a website. Thus, as an owner of a small business I should as a first step visit such websites. In this way I will become aware of the services that are demanded by the agencies. Through the use of FedBizOpps, I will be in a position to identify the federal procurements that are available. My preference for websites and FedBizOpps is based on the fact that each business day, large numbers of notices are posted on the agencies

Suffragette in the 1910's Research Paper Example | Topics and Well Written Essays - 1250 words

Suffragette in the 1910's - Research Paper Example New leaders of the movement such as Lucy Stone, Lucretia Mott, and Elizabeth Cady Stanton came from antislavery movement. Relations between the two movements were cordial at different political, personal and ideological levels but a turn came when Wendell Phillips set aside the issue of women suffrage to work for enfranchisement for newly independent blacks: â€Å"I hope in time to be as bold as Stuart Mill and add to that last clause ‘sex’!! But this hour belongs to the Negro.† From there on the movement split into two camps: the â€Å"moderates,† headed by Lucy Stone followed the Republican strategy while the radicals were led by Stanton and Susan B. Anthony, focusing the movement nearer to the New York Journal, The Revolution. Christine Stansell, â€Å"Feminism and Suffrage: The Emergence of an Independent Women's Movement in America by Ellen Carol DuBois,† Feminist Studies, 1980, 70-71. Introduction The history of women suffrage movement in the U nited States begins from 1848 when a call for the right to vote was made at the Seneca Falls Woman’s Right Convention. Initially, the movement vouched for equal rights in all areas of public interest such as civil, political, economic, and personal related to property, guardianship of their own children, equal salaries and reach to top-tier professional jobs besides freedom to right over family planning. The demand for the right to vote was not on the top of their agenda and there was no unanimity over demanding suffrage among the leading women functionaries of the movement. The new line of suffragists gaining national stature were the â€Å"New Women,† like Carrie Chapman Catt, Nettie Rogers Shuler, Harriet Taylor Upton, Anna Howard Shaw who saw no logic in running two parallel bodies and assimilated the associations into The National American Women Suffrage Association (NAWSA). This was a lackluster phase of the movement, as it was passing through â€Å"the doldrums ,† period from 1896 to 1910. Presidency of Anna Howard Shah in 1904 could not revive the movement. After she stepped down, Carrie Chapman Catt was appointed the president of NAWSA. Her â€Å"winning plan,† made it sure that in stead of running state-level campaigns attention should be given on federal amendments to effectively get the right to vote for the American women. 2 ________________________________ 2. Elna C. Green, â€Å"Southern Strategies: Southern Women and the Woman Suffrage Question,† (The University of North Carolina Press), p. 2-4. There was no doubt over Catt’s capability of organization; she could handle NAWSA resources and staff in two states effectively. Finally, the nineteenth amendment was made on June 1919 by the Congress and was sent to the states for ratification. From 1910s onwards, the second wave on suffragette started on a forceful note bringing the movement out of â€Å"the doldrums,† recruiting women in large numbers w ith every southern state having a permanent suffrage organization by 1913. 3 Fanny Wright led the movement by supporting the cause of abolition of slavery, free secular education, birth control, and softer conditions on getting a divorce by women through her books such as Course of Popular Lectures (1829) and writing in the Free Enquirer. In 1840, the suffrage movement got another push when Elizabeth Cady Stanton and Lucretia Mott were not granted permission to speak in the World Anti-Slavery Convention, as Stanton remarked on it: "We resolved to hold a convention as soon as we returned home, and form a society to advocate the rights of women." The American Equal Rights Association came into existence in 1866 but no decision could be made in Kansas on Negro suffrage and women suffrage. Later, in 1869 the National Women Suffrage

Progress through Cultural Diversity Research Proposal

Progress through Cultural Diversity - Research Proposal Example The slave trade and the racial stigma it affixed to the colored communities are not completely removed from the American community even now. The abolition of slavery has provided better opportunities for the colored people, but it is doubtful whether the political gestures like affirmative action had fulfilled all its objectives when it comes to the idea of equal opportunities. The discontent that remains amongst the dominant communities regarding the implications of affirmative action is evidence for the power-related conflicts that remain among diverse communities. The argument that the reservations available for once-oppressed communities drain the nation of true quality and skill reveals how the prejudices that question the notion of equal opportunities still exist. The question remains whether it is possible to strive for unity through political gestures, or does it have to emerge from a change in perspectives. The notion of retaining the existing unity would be a hypocritical o ne when there needs to be a focused effort to accept diverse cultural factors. The famous black movement of the Harlem Renaissance has in fact contributed towards the artistic and literary richness of America. The innovations of this period like the Jazz have been effectively incorporated into the popular and mainstream culture of the nation. This is evidence enough of the power that cultural diversity possesses.  

Focusing on Financial Impact & Innovation TLMT 441 forum 2 Assignment

Focusing on Financial Impact & Innovation TLMT 441 forum 2 - Assignment Example According to Mullineux (2008), financial innovation enables firms to raise funds for investment, which is critical in lowering production cost. Similarly, the growth is developed by new technologies and not driven by profit-maximization. They help in supporting entrepreneurs to create new methods to fund and screen technologists. Financial innovation is poised as the economic engine of the societies, at the same time, castigated as source of weakness of the economy (Bansal, 2006). Empirically, the source of financial innovation is poorly understood by entrepreneurs. These innovations refer to advances in technology that expedite access to information, payment, and trading approaches (Bansal, 2006). Financial innovation shapes the monetary policies of countries. On the other hand, financial development in media and payment systems has created a substitute for note, which is a reserve of the central banking (Bansal, 2006). For instance, they have enhanced e-banking and online money transfer that enhances money circulation. In other words, financial innovation facilitates the operation of monetary policies (Allen, 2004). They enhance transfer of money, contract on futures values, and allow negotiability of

Language processing capacities and learning abilities Dissertation

Language processing capacities and learning abilities - Dissertation Example Lust and Foley (2004) indicate that the rapid progress in the field of L1 acquisition, combined with the challenge of increasingly interdisciplinary literature, has turned into an overwhelming challenge to all scholars in the field. Their volume contains research into the philosophy and science of language acquisition. Articles include discoveries about the way children acquire abstract systems combining discrete symbolic elements in a language. Lust and Foley’s selected readings have an emphasis on linguistic theory, and they assert that theoretical positions in the field have often become polarized. Theoretical disputes are interpreted as a sign of vitality in the field.Johnson (2004) focuses on a review of traditional cognitive approaches to second language acquisition research, and offers a more sociocultural perspective. Her work reviews behaviorist, cognitivist, and information processing approaches to SLA. The author makes an overview of Vygotsky’s theory, includ ing discussion of inter- and intrapersonal interaction, the proximal development zone, and the role of language in mental processes development. She emphasizes the need to explore local second language ability, in terms of social environment, local genres, and institutional contexts.Bialystok et al. (2008) performed two studies to investigate lexical access in bilinguals. In the first one, monolinguals performed better than bilinguals on tests of naming and letter fluency, but not on category fluency. No differences existed with regard to vocabulary size

Progress through Cultural Diversity Research Proposal

Progress through Cultural Diversity - Research Proposal Example The slave trade and the racial stigma it affixed to the colored communities are not completely removed from the American community even now. The abolition of slavery has provided better opportunities for the colored people, but it is doubtful whether the political gestures like affirmative action had fulfilled all its objectives when it comes to the idea of equal opportunities. The discontent that remains amongst the dominant communities regarding the implications of affirmative action is evidence for the power-related conflicts that remain among diverse communities. The argument that the reservations available for once-oppressed communities drain the nation of true quality and skill reveals how the prejudices that question the notion of equal opportunities still exist. The question remains whether it is possible to strive for unity through political gestures, or does it have to emerge from a change in perspectives. The notion of retaining the existing unity would be a hypocritical o ne when there needs to be a focused effort to accept diverse cultural factors. The famous black movement of the Harlem Renaissance has in fact contributed towards the artistic and literary richness of America. The innovations of this period like the Jazz have been effectively incorporated into the popular and mainstream culture of the nation. This is evidence enough of the power that cultural diversity possesses.  

Language processing capacities and learning abilities Dissertation

Language processing capacities and learning abilities - Dissertation Example Lust and Foley (2004) indicate that the rapid progress in the field of L1 acquisition, combined with the challenge of increasingly interdisciplinary literature, has turned into an overwhelming challenge to all scholars in the field. Their volume contains research into the philosophy and science of language acquisition. Articles include discoveries about the way children acquire abstract systems combining discrete symbolic elements in a language. Lust and Foley’s selected readings have an emphasis on linguistic theory, and they assert that theoretical positions in the field have often become polarized. Theoretical disputes are interpreted as a sign of vitality in the field.Johnson (2004) focuses on a review of traditional cognitive approaches to second language acquisition research, and offers a more sociocultural perspective. Her work reviews behaviorist, cognitivist, and information processing approaches to SLA. The author makes an overview of Vygotsky’s theory, includ ing discussion of inter- and intrapersonal interaction, the proximal development zone, and the role of language in mental processes development. She emphasizes the need to explore local second language ability, in terms of social environment, local genres, and institutional contexts.Bialystok et al. (2008) performed two studies to investigate lexical access in bilinguals. In the first one, monolinguals performed better than bilinguals on tests of naming and letter fluency, but not on category fluency. No differences existed with regard to vocabulary size

Equality diversity and inclusion in dementia Essay Example for Free

Equality diversity and inclusion in dementia Essay The term consent capacity means for an adult to have the ability to understand information relevant to making an informal or voluntary decision. A wide range of diseases, disorders, conditions and injuries can affect a person’s ability to understand and give consent to information that has been relayed to them. Informed consent is a phrase often used in law to indicate that the consent from the individual meets the certain minimum standards. In order to give informed consent the individual concerned must have adequate reasoning faculties and be in possession of all relevant facts at the time that the consent is given. Impairments to reasoning and judgment which may make it impossible for someone to give informed consent include such factors as basic intellectual or emotional immaturity, high levels of stress such as post-traumatic stress disorder or as severe mental retardation, severe mental illness, intoxication, severe sleep deprivation, Alzheimers disease, or being in a coma. Questioning and challenging decisions that are made by others this would depends on the mental capacity of the individual you want to support. First, you would obtain their permission and then you must get them to explain as exactly as possible what help they reckon they need. Then you can offer further information, suggestions, and a plan to challenge such decisions. You could offer to be their spokesperson if they werent confident enough to speak out, or to accompany them to any hearing or appointment. However if the person is mentally impaired, you would have to get their signed permission to speak and act on their behalf before any health or social care workers would listen to you because of issues of confidentiality, you either have to be next of kin, or obtain powers of attorney or guardianship. How identity, self-image and self-esteem are linked is that self-esteem is how much you value yourself, in an ideal world this would be an equal to anyone purely on the basis of being human. Self-Image is the spinoff of countless self-esteem choices, and is basically your mental image of you as you are, usually not accurate. Identity is linked with this because everyone has their own identity and this is unique to each person. People’s identity is buil t up on their self-image and self-esteem. Every part of your life is influenced by your state of wellbeing. These factors enhance person’s wellbeing; a happy relationship with a partner, enjoyable and fulfilling career, a good network of close  friends, a supporting family, enough money, regular exercise, a balanced diet and fun hobbies and leisure. There is lots of different uses for risk assessments for example there will always be a risk assessment carried out and the start of the day or the start of a shift, this is normally and formal risk assessment. You will also risk assess things as you are getting on with your work for example if there is an object in the middle of your path you will may move it out of the way or to the side so you and others can get past safely, these risk assessments you may not realise that you are doing them because they just seem obvious and come so easy to you. You may also risk assess whether people that are in your care are not likely to get injured or lost by contractors that are also using the facilities. Every individual has rights of their own choices and decisions weather it is putting them at risk, this is why risk assessments are carried out to make sure the risks that the individual are willing to take is kept down to the lowest risk. As a carer you have responsibilities to make sure you and your service user are kept out of risks and danger. Risk assessments need to be regularly revised because peoples abilities change which could mean that they can no longer use stairs so you will have to risk assess what may happen if they were to use the stairs and how to prevent them from being at any danger. You also have to risk assess your ability to carry out some activities. So they need to regularly revised because you never know when an environment is going to change.

The Actual Cause Of The Hundred Years War

The Actual Cause Of The Hundred Years War The actual cause of the war was between France and England over who was the heir to the throne. (Which Throne?) After the death of Frances Charles lV, both France and England claimed the crown because Charles had left no direct successor. Edward lll, King of England, asserted that he in fact had a superior claim to the throne because his mother was Philip the Fairs daughter. This then, was one of the primary causes of the Hundred Years War. The economic conflict was clearly another cause of this great war. England had major financial interest in the wool industry in Flanders and France supported the Scots in their wars against England. England had much better troops, a more efficient government and thousands of English soldiers were more than willing to campaign in France, and get rich in the process. The Hundred Years War is broken up into three stages or phases. The first lasted until the signature of the Treaty of Bretigny in 1360(1337-1360). The second phase lasted from 1360-1413 when Henry V became king, and the third phase lasted from 1413-1453. The first phase was marked by English victories in France and alliances with French feudal lords. The second phase was marked by English inactivity and French raids keeping The English on the defensive. The third phase began with major and dramatic English victories but ended in defeat and Englands nearly complete withdrawal from France. The entire war is just a series of on and off warfare against France and England, from(1337-1453). The war was nothing more than sieges, raids, sea and land battles, and long periods truce. The counts of Flanders were vassals to the king of France, but the English saw Flanders as their major center for their foreign trade due to its cloth manufacture. The English also controlled southern France after Eleanor of Aquitaine married King Henry ll in the mid 12th century. Therefore the French were allies with the Scots to control a northern stronghold, called the Auld Alliance. The two countries also fought over the English channel and the north sea. In 1337, King Phillip Vl of France moved his troops to the English control of Aquitaine. In 1340, the English won a major naval victory at Sluys. King Edward lll then declared himself King of France. In 1346, the English forces defeated the French at Crecy, and then in 1347, the English captured Calais. In 1350, John ll became King of France after Philip Vl died. In 1356 when the English defeated the French at Poitiers King John ll was captured. He died in 1346. IN 1360, the Treaty of Bretigny was signed, giving the English complete control of Aquitaine and ending the first phase of the long war. As the war dragged on the English lost land and money causing the English peasants to revolt in 1381. After the Treaty of Troyes in 1420, King Henry V was recognized as heir to the French throne. Then in 1427 after both Henry V and Charles V died Henry Vl was heir to the throne despite being an infant. After the war, the English lost focus on controlling continental territory and began to strengthen its maritime supremacy. The most significant result was that the nobility and secular leaders were busy fighting each other at a time when western Europe desperately needed leadership. Each side had their advantages. Henry V was a master of siege warfare, allowing for major English victories. Towns ere encircled by protective forts. Attack methods included blockades, digging tunnels, and catapults used to hurl rocks, flaming arrows, and filth into the air. The siege cannon, used after 1400, led to the end of the castle and fort. Sea battles involved 20-50 castle like ships. Generally, the English won on the sea. French had a population around 16,000,000 far richer and populous than England. At one point, the French fielded an army of over 50,000 compared to the Britains who maybe mustered up 32,000. In almost every engagement the English were outnumbered. Britains most successful strategies were avoiding pitched battles, engaging in quick, profitable raids, steal what you can and destroy everything else. The use of the English defensive positions was the use of the longbow. The arrows could penetrate an inch of wood or the armor of a Knight at 200 yards. A longbow could also be fired more rapidly, and was affective than a crossbow. Henry landed in Normandy intending on taking Calais, having 2,000 infantry and 6,000 archers and some primitive cannon. His drive was blocked by many heavily armored French knight who obviously forgot the lessons of Crecy and Poitiers. The war brought about dissimilar results for the French and the English. Both countries saw an increase in their monarchial rule, it was due to different reasons. England couldnt hold on in France and effectively rule the burden was too great. U nlike France, over the course of the war England also experienced a strengthening of the parliament. The French on the other hand experienced a increase in monarchial authority due to the peoples recognition and complaints with the feudal systems shortcomings, including its limitations in fighting and protection of the serfs. The eventual expulsion of the English and the consolidation of the kingdom made France one of the greatest counties during this time period.

F. Scott Fitzgeralds The Great Gatsby Essay -- Fitzgerald Great Gatsb

F. Scott Fitzgerald's The Great Gatsby The greatness of an individual can be defined in terms far beyond tangible accomplishments. In F. Scott Fitzgerald's classic American novel, The Great Gatsby, Jay Gatsby's greatness comes from his need to experience success and his will to achieve his dreams. Nick Carraway narrates the story, and his cousin, Daisy Buchanan, is Gatsby's love. Daisy, however, is married to Tom Buchanan, a wealthy, arrogant womanizer who despises Gatsby. Gatsby feels the need to be successful and wealthy, and his participation in a bootlegging operation allows him to acquire the wealth and social status needed to attract Daisy. In his narration, Nick focuses on Gatsby's fixation of Daisy and how he longs for her presence in his life. Gatsby's greatness comes from his power to dream, his competence in turning dreams into reality, and his absolute love for Daisy. In The Great Gatsby, Jay Gatsby uses his dreams as motivation for his existence. Fitzgerald uses wealth and social status to define Gatsby?s character, which is exemplified by his lavish parties and the dignitaries who attend them. In his formative years, Gatsby was employed by a wealthy yachtsman, Dan Cody. It is from Cody that Gatsby develops his appreciation for wealth. ?To young Gatz, resting on his oars, looking up at the railed deck, that yacht represented all the beauty and glamour in the world? (Fitzgerald 106). Fitzgerald uses this quote to mark the point at which Gatsby encounters wealth and power for the first time, and also, he uses it to symbolize Gatsby?s social standing and economic status. By comparing Gatsby?s rowboat with the luxurious yacht of Cody?s, Fitzgerald presents the idea that money and power translate into bigger and better things. The event is symbolic in that it illustrates Gatsby?s perception that wealth is a necessity. By saying that he was ?looking up? to ?all the beauty and glamour in the world,? Fitzgerald makes it evident that Gatsby idolized this lifestyle. Also, he shows that Gatsby views beauty as a materialistic quality. Gatsby?s materialistic view of beauty can be seen in his love for Daisy when Gatsby says, ?her voice is full of money? (127). This quote by Gatsby shows how he identifies his love for Daisy with his love for money. Gatsby and Daisy met in Louisville, where they fell in love with each other, however, when Gatsby lef... ...life ensconced in their very essence. Nick says that Gatsby, ?represented everything for which I had an unaffected scorn? (6). However, he is able to see through this dislike of Gatsby?s character to tell him, ?you?re worth the whole damn bunch put together? (162). In other words, Gatsby possessed the qualities of a great individual, but his reliance on material objects to show his love and his corrupt ideology prevent him from reaching his full potential as an honorable character in the work. Gatsby?s greatness is not contained in noteworthy accomplishments, his wealth, or even his pursuit of love. Gatsby possesses the power to dream. Gatsby dreamed of being wealthy and reuniting with Daisy. He fulfilled his dreams, but unlike his dreams, Gatsby?s reality was hollow. His money was made illegally and his love for Daisy was based on only that which he could buy. Gatsby?s greatness is not only present in what he dreamt for, but also, he possessed the ability to grasp his dreams and turn them into reality. Gatsby may not be a perfect character, but by living for a purpose, he is able to extract greater meaning from life, making him superior to the other characters in the novel.

Women and Obstetrics: The Loss of Childbirth to Male Physicians Essay

Women and Obstetrics: The Loss of Childbirth to Male Physicians "Woman" is often referred to as a diseased state of the male norm. Medical testing is done on men, with men as the norm. Women's bodies are diseased and dysfunctional. Female processes are not normal occurrences in the female body. They are deviant processes, needing male consultation and male solutions. This medicalization of women's bodies occurred during the eighteenth and nineteenth centuries as medicine became professionalized and men came to be in control of women's bodies and their processes. During the fifteenth, sixteenth, seventeenth and part of the eighteenth century, midwives oversaw women's medical needs. Childbirth and diseases of the reproductive organs were the domain of midwives. Books on midwifery taught midwives to diagnose problems, to suggest treatments, and to oversee birth. As men sought to professionalize medicine and to further their control they began to become involved in midwifery and developed obstetrics and gynecology. The shift from midwife to obstetrician and gynecologist occurred from the early eighteenth through the nineteenth centuries. Relinquishing control of their territory was not something midwives did voluntarily, rather it happened as a result of questions of women's place and innovations in technology. Men's access to education and to technology provided them with an advantage over female midwives. Female midwives and women in general were denied medical education. They were not exposed, nor allowed to use certain technologies. In order for midwives to keep their job, they were forbidden from practicing medicine. Using technology was practicing medicine; midwives could not use technology to ease labor or to diagnose... ...d (New York, New York: Oxford University Press, 1986) Leavitt, Judith Walzer, ed., Women and Health in America (Madison, Wisconsin: The University of Wisconsin Press, 1984) Mitchinson, Wendy, "Hysteria and Insanity in Women: A Nineteenth Century Canadian Perspective" Journal of Canadian Studies 21 (1988): 1199-208 Morantz-Sanchez, Regina Markell, Sympathy and Science: Women Physicians in American Medicine (New York, New York: Oxford University Press, 1985) Moscucci, Ornella, The Science of Woman: Gynecology and Gender in England 1800-1929 (Cambridge, England: Cambridge University Press, 1990) Tatlock, Lynne, "Speculum Feminarum: Gendered Perspectives on Obstetrics and Gynecology in Early Modern Germany" Signs 17 (1992): 725-56 Wajcman, Judy, Feminism Confronts Technology (University Park, Pennsylvania: The Pennsylvania State University Press, 1991)

Accrual Swaps

ACCRUAL SWAPS AND RANGE NOTES PATRICK S. HAGAN BLOOMBERG LP 499 PARK AVENUE NEW YORK, NY 10022 [email  protected] NET 212-893-4231 Abstract. Here we present the standard methodology for pricing accrual swaps, range notes, and callable accrual swaps and range notes. Key words. range notes, time swaps, accrual notes 1. Introduction. 1. 1. Notation. In our notation today is always t = 0, and (1. 1a) D(T ) = today’s discount factor for maturity T. For any date t in the future, let Z(t; T ) be the value of $1 to be delivered at a later date T : (1. 1b) Z(t; T ) = zero coupon bond, maturity T , as seen at t. These discount factors and zero coupon bonds are the ones obtained from the currency’s swap curve. Clearly D(T ) = Z(0; T ). We use distinct notation for discount factors and zero coupon bonds to remind ourselves that discount factors D(T ) are not random; we can always obtain the current discount factors from the stripper. Zero coupon bonds Z(t; T ) are random, at least until time catches up to date t. Let (1. 2a) (1. 2b) These are de? ned via (1. 2c) D(T ) = e? T 0 f0 (T ) = today’s instantaneous forward rate for date T, f (t; T ) = instantaneous forward rate for date T , as seen at t. f0 (T 0 )dT 0 Z(t; T ) = e? T t f (t,T 0 )dT 0 . 1. 2. Accrual swaps (? xed). ?j t0 t1 t2 †¦ tj-1 tj †¦ tn-1 tn period j Coupon leg schedule Fixed coupon accrual swaps (aka time swaps) consist of a coupon leg swapped against a funding leg. Suppose that the agreed upon reference rate is, say, k month Libor. Let (1. 3) t0 < t1 < t2  ·  ·  · < tn? 1 < tn 1 Rfix Rmin Rmax L( ? ) Fig. 1. 1. Daily coupon rate be the schedule of the coupon leg, and let the nominal ? xed rate be Rf ix . Also let L(? st ) represent the k month Libor rate ? xed for the interval starting at ? st and ending at ? end (? st ) = ? t + k months. Then the coupon paid for period j is (1. 4a) where (1. 4b) and (1. 4c) ? j = #days ? st in the interval with Rmin ? L(? st ) ? Rmax . Mj ? j = cvg(tj? 1 , tj ) = day count fraction for tj? 1 to tj , Cj = ? j Rf ix ? j paid at tj , Here Mj is the total number of days in interval j, and Rmin ? L(? st ) ? Rmax is the agreed-upon accrual range. Said another way, each day ? st in the j th period contibutes the amount ? ?j Rf ix 1 if Rmin ? L(? st ) ? Rmax (1. 5) 0 otherwise Mj to the coupon paid on date tj . For a standard deal, the leg’s schedule is contructed like a standard swap schedule. The theoretical dates (aka nominal dates) are constructed monthly, quarterly, semi-annually, or annually (depending on the contract terms) backwards from the â€Å"theoretical end date. † Any odd coupon is a stub (short period) at the front, unless the contract explicitly states long ? rst, short last, or long last. The modi? ed following business day convention is used to obtain the actual dates tj from the theoretical dates. The coverage (day count fraction) is adjusted, that is, the day count fraction for period j is calculated from the actual dates tj? 1 and tj , not the theoretical dates. Also, L(? t ) is the ? xing that pertains to periods starting on date ? st , regardless of whether ? st is a good business day or not. I. e. , the rate L(? st ) set for a Friday start also pertains for the following Saturday and Sunday. Like all ? xed legs, there are many variants of these coupon legs. The only variations that do not make sense for coupon legs are â€Å"set-in-arrearsâ €  and â€Å"compounded. † There are three variants that occur relatively frequently: Floating rate accrual swaps. Minimal coupon accrual swaps. Floating rate accrual swaps are like ordinary accrual swaps except that at the start of each period, a ? ating rate is set, and this rate plus a margin is 2 used in place of the ? xed rate Rf ix . Minimal coupon accrual swaps receive one rate each day Libor sets within the range and a second, usually lower rate, when Libor sets outside the range ? j Mj ? Rf ix Rf loor if Rmin ? L(? st ) ? Rmax . otherwise (A standard accrual swap has Rf loor = 0. These deals are analyzed in Appendix B. Range notes. In the above deals, the funding leg is a standard ?oating leg plus a margin. A range note is a bond which pays the coupon leg on top of the principle repayments; there is no ? oating leg. For these deals, the counterparty’s credit-worthiness is a key concern. To determine the correct value of a range note, one needs to use an option adjusted spread (OAS) to re? ect the extra discounting re? ecting the counterparty’s credit spread, bond liquidity, etc. See section 3. Other indices. CMS and CMT accrual swaps. Accrual swaps are most commonly written using 1m, 3m, 6m, or 12m Libor for the reference rate L(? st ). However, some accrual swaps use swap or treasury rates, such as the 10y swap rate or the 10y treasury rate, for the reference rate L(? st ). These CMS or CMT accrual swaps are not analyzed here (yet). There is also no reason why the coupon cannot set on other widely published indices, such as 3m BMA rates, the FF index, or the OIN rates. These too will not be analyzed here. 2. Valuation. We value the coupon leg by replicating the payo? in terms of vanilla caps and ? oors. Consider the j th period of a coupon leg, and suppose the underlying indice is k-month Libor. Let L(? st ) be the k-month Libor rate which is ? xed for the period starting on date ? st and ending on ? end (? st ) = ? st +k months. The Libor rate will be ? xed on a date ? f ix , which is on or a few days before ? st , depending on currency. On this date, the value of the contibution from day ? st is clearly ? ? ? j Rf ix V (? f ix ; ? st ) = payo? = Z(? f ix ; tj ) Mj ? 0 if Rmin ? L(? st ) ? Rmax otherwise (2. 1) , where ? f ix the ? xing date for ? st . We value coupon j by replicating each day’s contribution in terms of vanilla caplets/? oorlets, and then summing over all days ? st in the period. Let Fdig (t; ? st , K) be the value at date t of a digital ? oorlet on the ? oating rate L(? st ) with strike K. If the Libor rate L(? st ) is at or below the strike K, the digital ? oorlet pays 1 unit of currency on the end date ? end (? st ) of the k-month interval. Otherwise the digital pays nothing. So on the ? xing date ? f ix the payo? is known to be ? 1 if L(? st ) ? K , (2. 2) Fdig (? f ix ; ? st , K) = Z(? f ix ; ? end ) 0 otherwise We can replicate the range note’s payo? for date ? st by going long and short digitals struck at Rmax and Rmin . This yields, (2. 3) (2. 4) ? j Rf ix [Fdig (? f ix ; ? st , Rmax ) ? Fdig (? f ix ; ? st , Rmin )] Mj ? ?j Rf ix 1 = Z(? f ix ; ? end ) 0 Mj 3 if Rmin ? L(? st ) ? Rmax . otherwise This is the same payo? as the range note, except that the digitals pay o? on ? end (? st ) instead of tj . 2. 1. Hedging considerations. Before ? ing the date mismatch, we note that digital ? oorlets are considered vanilla instruments. This is because they can be replicated to arbitrary accuracy by a bullish spread of ? oorlets. Let F (t, ? st , K) be the value on date t of a standard ? oorlet with strike K on the ? oating + rate L(? st ). This ? oorlet pays ? [K ? L(? st )] on the end date ? end (? st ) of the k-m onth interval. So on the ? xing date, the payo? is known to be (2. 5a) F (? f ix ; ? st , K) = ? [K ? L(? st )] Z(? f ix ; ? end ). + Here, ? is the day count fraction of the period ? st to ? end , (2. 5b) ? = cvg(? st , ? end ). 1 ? oors struck at K + 1 ? nd short the same number struck 2 The bullish spread is constructed by going long at K ? 1 ?. This yields the payo? 2 (2. 6) which goes to the digital payo? as ? > 0. Clearly the value of the digital ? oorlet is the limit as ? > 0 of (2. 7a) Fcen (t; ? st , K, ? ) = ? 1  © F (t; ? st , K + 1 ? ) ? F (t; ? st , K ? 1 ? ) . 2 2 ? 1  © F (? f ix ; ? st , K + 1 ? ) ? F (? f ix ; ? st , K ? 1 ? ) 2 2 ? ? ? ? 1 ? 1 = Z(? f ix ; ? end ) K + 1 ? ? L(? st ) 2 ? ? ? 0 if K ? 1 ? < L(? st ) < K + 1 ? , 2 2 if K + 1 ? < L(? st ) 2 if L(? st ) < K ? 1 ? 2 Thus the bullish spread, and its limit, the digitial ? orlet, are directly determined by the market prices of vanilla ? oors on L(? st ). Digital ? oorlets may develop an unbounded ? - risk as the ? xing date is approached. To avoid this di? culty, most ? rms book, price, and hedge digital options as bullish ? oorlet spreads. I. e. , they book and hedge the digital ? oorlet as if it were the spread in eq. 2. 7a with ? set to 5bps or 10bps, depending on the aggressiveness of the ? rm. Alternatively, some banks choose to super-replicate or sub-replicate the digital, by booking and hedging it as (2. 7b) or (2. 7c) Fsub (t; ? st , K, ? ) = 1 {F (t; ? st , K) ? F (t; ? st , K ? ?)} Fsup (t; ? st , K, ? ) = 1 {F (t; ? st , K + ? ) ? F (t; ? st , K)} depending on which side they own. One should price accrual swaps in accordance with a desk’s policy for using central- or super- and sub-replicating payo? s for other digital caplets and ? oorlets. 2. 2. Handling the date mismatch. We re-write the coupon leg’s contribution from day ? st as ? ?j Rf ix Z(? f ix ; tj ) ? V (? f ix ; ? st ) = Z(? f ix ; ? end ) Mj Z(? f ix ; ? end ) ? 0 4 (2. 8) if Rmin ? L(? st ) ? Rmax otherwise . f(t,T) L(? ) tj-1 ? tj ? end T Fig. 2. 1. Date mismatch is corrected assuming only parallel shifts in the forward curve The ratio Z(? ix ; tj )/Z(? f ix ; ? end ) is the manifestation of the date mismatch. To handle this mismatch, we approximate the ratio by assuming that the yield curve makes only parallel shifts over the relevent interval. See ?gure 2. 1. So suppose we are at date t0 . Then we assume that (2. 9a) Z(? f ix ; tj ) Z(t0 ; tj ) ? [L(? st )? Lf (t0 ,? st )](tj en d ) = e Z(? f ix ; ? end ) Z(t0 ; ? end ) Z(t0 ; tj ) = {1 + [L(? st ) ? Lf (t0 , ? st )](? end ? tj ) +  ·  ·  · } . Z(t0 ; ? end ) Z(t0 ; ? st ) ? Z(t0 ; ? end ) + bs(? st ), ? Z(t0 ; ? end ) Here (2. 9b) Lf (t0 , ? st ) ? is the forward rate for the k-month period starting at ? t , as seen at the current date t0 , bs(? st ) is the ? oating rate’s basis spread, and (2. 9c) ? = cvg(? st , ? end ), is the day count fraction for ? st to ? end . Since L(? st ) = Lf (? f ix , ? st ) represents the ? oating rate which is actually ? xed on the ? xing date ? ex , 2. 9a just assumes that any change in the yield curve between tj and ? end is the same as the change Lf (? f ix , ? st ) ? Lf (t0 , ? st ) in the reference rate between the observation date t0 , and the ? xing date ? f ix . See ? gure 2. 1. We actually use a slightly di? erent approximation, (2. 10a) where (2. 10b) ? = ? end ? tj . ? end ? ? st Z(? ix ; tj ) Z(t0 ; tj ) 1 + L(? st ) ? Z(? f ix ; ? end ) Z(t0 ; ? end ) 1 + Lf (t0 , ? st ) We prefer this approximation because it is the only linear approximation which accounts for the day count basis correctly, is exact for both ? st = tj? 1 and ? st = tj , and is centerred around the current forward value for the range note. 5 Rfix Rmin L0 Rmax L(? ) Fig. 2. 2. E? ective contribution from a single day ? , after accounting for the date mis-match. With this approximation, the payo? from day ? st is ? 1 + L(? st ) (2. 11a) V (? f ix ; ? ) = A(t0 , ? st )Z(? f ix ; ? end ) 0 as seen at date t0 . Here the e? ctive notional is (2. 11b) A(t0 , ? st ) = if Rmin ? L(? st ) ? Rmax otherwise 1 ? j Rf ix Z(t0 ; tj ) . Mj Z(t0 ; ? end ) 1 + Lf (t0 , ? st ) We can replicate this digital-linear-digital payo? by using a combination of two digital ? oorlets and two standard ? oorlets. Consider the combination (2. 12) V (t; ? st ) ? A(t0 , ? st ) {(1 + Rmax )Fdig (t, ? st ; Rmax ) ? (1 + ? Rmin )Fdig (t, ? st ; Rmin ) F (t, ? st ; Rmax ) + ? F (t, ? st ; Rmi n ). Setting t to the ? xing date ? f ix shows that this combination matches the contribution from day ? st in eq. 2. 11a. Therefore, this formula gives the value of the contribution of day ? t for all earlier dates t0 ? t ? ? f ix as well. Alternatively, one can replicate the payo? as close as one wishes by going long and short ? oorlet spreads centerred around Rmax and Rmin . Consider the portfolio (2. 13a) A(t0 , ? st )  © ? V (t; ? st , ? ) = a1 (? st )F (t; ? st , Rmax + 1 ? ) ? a2 (? st )F (t; ? st , Rmax ? 1 ? ) 2 2 ? 1 ? a3 (? st )F (t; ? st , Rmin + 2 ? )+ a4 (? st )F (t; ? st , Rmin ? 1 ? ) 2 a1 (? st ) = 1 + (Rmax ? 1 ? ), 2 a3 (? st ) = 1 + (Rmin ? 1 ? ), 2 ? ? a2 (? st ) = 1 + (Rmax + 1 ? ), 2 a4 (? st ) = 1 + (Rmin + 1 ? ). 2 with (2. 13b) (2. 13c) Setting t to ? ix yields (2. 14) ? V = A(t0 , ? st )Z(? f ix ; ? end ) 0 if L(? st ) < Rmin ? 1 ? 2 1 + L(? st ) if Rmin + 1 ? < L(? st ) < Rmax ? 1 ? , 2 2 ? 0 if Rmax + 1 ? < L(? st ) 2 6 with linear ramps between Rmin ? 1 ? < L(? st ) < Rmin + 1 ? and Rmax ? 1 ? < L(? st ) < Rmax + 1 ?. As 2 2 2 2 above, most banks would choose to use the ? oorlet spreads (with ? being 5bps or 10bps) instead of using the more troublesome digitals. For a bank insisting on using exact digital options, one can take ? to be 0. 5bps to replicate the digital accurately.. We now just need to sum over all days ? t in period j and all periods j in the coupon leg, (2. 15) Vcpn (t) = n X This formula replicates the value of the range note in terms of vanilla ? oorlets. These ? oorlet prices should be obtained directly from the marketplace using market quotes for the implied volatilities at the relevent strikes. Of course the centerred spreads could be replaced by super-replicating or sub-replicating ? oorlet spreads, bringing the pricing in line with the bank’s policies. Finally, we need to value the funding leg of the accrual swap. For most accrual swaps, the funding leg ? ? pays ? oating plus a margin. Let th e funding leg dates be t0 , t1 , . . , tn . Then the funding leg payments are (2. 16) f ? ? cvg(ti? 1 , ti )[Ri lt + mi ]  ¤ A(t0 , ? st )  ©? 1 + (Rmax ? 1 ? ) F (t; ? st , Rmax + 1 ? ) 2 2 j=1 ? st =tj? 1 +1 ?  ¤ ? 1 + (Rmax + 1 ? ) F (t; ? st , Rmax ? 1 ? ) 2 2 ?  ¤ ? 1 + (Rmin ? 1 ? ) F (t; ? st , Rmin + 1 ? ) 2 2 ?  ¤ ? + 1 + (Rmin + 1 ? ) F (t; ? st , Rmin ? 1 ? ) . 2 2 tj X ? paid at ti , i = 1, 2, †¦ , n, ? f ? ? where Ri lt is the ? oating rate’s ? xing for the period ti? 1 < t < ti , and the mi is the margin. The value of the funding leg is just n ? X i=1 (2. 17a) Vf und (t) = ? ? ? cvg(ti? 1 , ti )(ri + mi )Z(t; ti ), ? ? where, by de? ition, ri is the forward value of the ? oating rate for period ti? 1 < t < ti : (2. 17b) ri = ? ? Z(t; ti? 1 ) ? Z(t; ti ) true + bs0 . + bs0 = ri i i ? ? ? cvg(ti? 1 , ti )Z(t; ti ) true is the true (cash) rate. This sum Here bs0 is the basis spread for the funding leg’s ? oating rate, and ri i collapses t o n ? X i=1 (2. 18a) Vf und (t) = Z(t; t0 ) ? Z(t; tn ) + ? ? ? ? cvg(ti? 1 , ti )(bs0 +mi )Z(t; ti ). i If we include only the funding leg payments for i = i0 to n, the value is ? (2. 18b) ? Vf und (t) = Z(t; ti0 ? 1 ) ? Z(t; tn ) + ? n ? X ? ? ? cvg(ti? 1 , ti )(bs0 +mi )Z(t; ti ). i i=i0 2. 2. 1. Pricing notes. Caplet/? oorlet prices are normally quoted in terms of Black vols. Suppose that on date t, a ? oorlet with ? xing date tf ix , start date ? st , end date ? end , and strike K has an implied vol of ? imp (K) ? ? imp (? st , K). Then its market price is (2. 19a) F (t, ? st , K) = ? Z(t; ? end ) {KN (d1 ) ? L(t, ? )N (d2 )} , 7 where (2. 19b) Here (2. 19c) d1,2 = log K/L(t, ? st )  ± 1 ? 2 (K)(tf ix ? t) 2 imp , v ? imp (K) tf ix ? t Z(t; ? st ) ? Z(t; ? end ) + bs(? st ) ? Z(t; ? end ) L(t, ? st ) = is ? oorlet’s forward rate as seen at date t. Today’s ? oorlet value is simply (2. 20a) where (2. 20b) d1,2 = log K/L0 (? st )  ± 1 ? (K)tf ix 2 imp , v ? imp (K) tf ix D(? st ) ? D(? end ) + bs(? st ). ?D(? end ) ? j Rf ix D(tj ) 1 . Mj D(? end ) 1 + L0 (? st ) F (0, ? st , K) = ? D(? end ) {KN (d1 ) ? L0 (? )N (d2 )} , and where today’s forward Libor rate is (2. 20c) L0 (? st ) = To obtain today’s price of the accrual swap, note that the e? ective notional for period j is (2. 21) A(0, ? st ) = as seem today. See 2. 11b. Putting this together with 2. 13a shows that today’s price is Vcpn (0) ? Vf und (0), where (2. 22a) Vcpn (0) = n X ? j Rf ix D(tj ) j=1 Mj  ¤ ?  ¤ ? 1 + (Rmax ? 1 ? ) B1 (? st ) ? 1 + (Rmax + 1 ? ) B2 (? st ) 2 2 ? [1 + L0 (? st )] ? t =tj? 1 +1  ¤ ?  ¤ ? 1 + (Rmin ? 1 ? ) B3 (? st ) ? 1 + (Rmin + 1 ? ) B4 (? st ) 2 2 ? , ? [1 + L0 (? st )] tj X n ? X i=1 (2. 22b) Vf und (0) = D(t0 ) ? D(tn ) + ? ? ? ? cvg(ti? 1 , ti )(bs0 +mi )D(ti ). i Here B? are Black’s formula at strikes around the boundaries: (2. 22c) (2. 22d) with (2. 22e) K1,2 = Rmax  ± 1 ? , 2 K3,4 = Rmin  ± 1 ?. 2 B? (? st ) = K? N (d? ) ? L0 (? st )N (d? ) 1 2 d? = 1,2 log K? /L0 (? st )  ± 1 ? 2 (K? )tf ix 2 imp v ? imp (K? ) tf ix Calculating the sum of each day’s contribution is very tedious. Normally, one calculates each day’s contribution for the current period and two or three months afterward. After that, one usually replaces the sum over dates ? with an integral, and samples the contribution from dates ? one week apart for the next year, and one month apart for subsequent years. 8 3. Callable accrual swaps. A callable accrual swap is an accrual swap in which the party paying the coupon leg has the right to cancel on any coupon date after a lock-out period expires. For example, a 10NC3 with 5 business days notice can be called on any coupon date, starting on the third anniversary, provided the appropriate notice is given 5 days before the coupon date. We will value the accrual swap from the viewpoint of the receiver, who would price the callable accrual swap as the full accrual swap (coupon leg minus funding leg) minus the Bermudan option to enter into the receiver accrual swap. So a 10NC3 cancellable quarterly accrual swap would be priced as the 10 year bullet quarterly receiver accrual swap minus the Bermudan option – with quarterly exercise dates starting in year 3 – to receive the remainder of the coupon leg and pay the remainder of the funding leg. Accordingly, here we price Bermudan options into receiver accrual swaps. Bermudan options on payer accrual swaps can be priced similarly. There are two key requirements in pricing Bermudan accrual swaps. First, as Rmin decreases and Rmax increases, the value of the Bermudan accrual swap should reduce to the value of an ordinary Bermudan swaption with strike Rf ix . Besides the obvious theoretical appeal, meeting this requirement allows one to hedge the callability of the accrual swap by selling an o? setting Bermudan swaption. This criterion requires using the same the interest rate model and calibration method for Bermudan accrual notes as would be used for Bermudan swaptions. Following standard practice, one would calibrate the Bermudan accrual note to the â€Å"diagonal swaptions† struck at the accrual note’s â€Å"e? ective strikes. † For example, a 10NC3 accrual swap which is callable quarterly starting in year 3 would be calibrated to the 3 into 7, the 3. 25 into 6. 75, †¦ , the i 8. 75 into 1. 25, and the 9 into 1 swaptions. The strike Ref f for each of these â€Å"reference swaptions† would be chosen so that for swaption i, (3. 1) value of the ? xed leg value of all accrual swap coupons j ? i = value of the ? oating leg value of the accrual swap’s funding leg ? i This usually results in strikes Ref f that are not too far from the money. In the preceding section we showed that each coupon of the accrual swap can be written as a combination of vanilla ? oorlets, and therefore the market value of each coupon is known exactly. The second requirement is that the valuation procedure should reproduce today’s m arket value of each coupon exactly. In fact, if there is a 25% chance of exercising into the accrual swap on or before the j th exercise date, the pricing methodology should yield 25% of the vega risk of the ? oorlets that make up the j th coupon payment. E? ectively this means that the pricing methodology needs to use the correct market volatilities for ? oorlets struck at Rmin and Rmax . This is a fairly sti? requirement, since we now need to match swaptions struck at i Ref f and ? oorlets struck at Rmin and Rmax . This is why callable range notes are considered heavily skew depedent products. 3. 1. Hull-White model. Meeting these requirements would seem to require using a model that is sophisticated enough to match the ? oorlet smiles exactly, as well as the diagonal swaption volatilities. Such a model would be complex, calibration would be di? ult, and most likely the procedure would yield unstable hedges. An alternative approach is to use a much simpler model to match the diagonal swaption prices, and then use â€Å"internal adjusters† to match the ? oorlet volatilities. Here we follow this approach, using the 1 factor linear Gauss Markov (LGM) model with internal adjusters to price Bermudan options on accrual swaps. Speci ? cally, we ? nd explicit formulas for the LGM model’s prices of standard ? oorlets. This enables us to compose the accrual swap â€Å"payo? s† (the value recieved at each node in the tree if the Bermudan is exercised) as a linear combination of the vanilla ? orlets. With the payo? s known, the Bermudan can be evaluated via a standard rollback. The last step is to note that the LGM model misprices the ? oorlets that make up the accrual swap coupons, and use internal adjusters to correct this mis-pricing. Internal adjusters can be used with other models, but the mathematics is more complex. 3. 1. 1. LGM. The 1 factor LGM model is exactly the Hull-White model expressed as an HJM model. The 1 factor LGM model has a single state variable x that determines the entire yield curve at any time t. 9 This model can be summarized in three equations. The ? st is the Martingale valuation formula: At any date t and state x, the value of any deal is given by the formula, Z V (t, x) V (T, X) (3. 2a) = p(t, x; T, X) dX for any T > t. N (t, x) N (T, X) Here p(t, x; T, X) is the probability that the state variable is in state X at date T , given that it is in state x at date t. For the LGM model, the transition density is Gaussian 2 1 e? (X? x) /2[? (T ) (t)] , p(t, x; T, X) = p 2? [? (T ) ? ?(t)] (3. 2b) with a variance of ? (T ) ? ?(t). The numeraire is (3. 2c) N (t, x) = 1 h(t)x+ 1 h2 (t)? (t) 2 , e D(t) for reasons that will soon become apparent. Without loss of generality, one sets x = 0 at t = 0, and today’s variance is zero: ? (0) = 0. The ratio (3. 3a) V (t, x) ? V (t, x) ? N (t, x) is usually called the reduced value of the deal. Since N (0, 0) = 1, today’s value coincides with today’s reduced value: (3. 3b) V (0, 0) ? V (0, 0) = V (0, 0) ? . N (0, 0) So we only have to work with reduced values to get today’s prices.. De? ne Z(t, x; T ) to be the value of a zero coupon bond with maturity T , as seen at t, x. It’s value can be found by substituting 1 for V (T, X) in the Martingale valuation formula. This yields (3. 4a) 1 2 Z(t, x; T ) ? Z(t, x; T ) ? = D(T )e? (T )x? 2 h (T )? (t) . N (t, x) Since the forward rates are de? ned through (3. 4b) Z(t, x; T ) ? e? T t f (t,x;T 0 )dT 0 , ? taking ? ?T log Z shows that the forward rates are (3. 4c) f (t, x; T ) = f0 (T ) + h0 (T )x + h0 (T )h(T )? (t). This last equation captures the LGM model in a nutshell. The curves h(T ) and ? (t) are model parameters that need to be set by calibration or by a priori reasoning. The above formula shows that at any date t, the forward rate curve is given by today’s forward rate curve f0 (T ) plus x times a second curve h0 (T ), where x is a Gaussian random variable with mean zero and variance ? (t). Thus h0 (T ) determines possible shapes of the forward curve and ? (t) determines the width of the distribution of forward curves. The last term h0 (T )h(T )? (t) is a much smaller convexity correction. 10 3. 1. 2. Vanilla prices under LGM. Let L(t, x; ? st ) be the forward value of the k month Libor rate for the period ? st to ? end , as seen at t, x. Regardless of model, the forward value of the Libor rate is given by (3. 5a) where (3. 5b) ? = cvg(? st , ? end ) L(t, x; ? st ) = Z(t, x; ? st ) ? Z(t, x; ? end ) + bs(? st ) = Ltrue (t, x; ? st ) + bs(? st ), ? Z(t, x; ? end ) is the day count fraction of the interval. Here Ltrue is the forward â€Å"true rate† for the interval and bs(? ) is the Libor rate’s basis spread for the period starting at ? . Let F (t, x; ? st , K) be the value at t, x of a ? oorlet with strike K on the Libor rate L(t, x; ? st ). On the ? xing date ? f ix the payo? is (3. 6) ?  ¤+ F (? f ix , xf ix ; ? st , K) = ? K ? L(? f ix , xf ix ; ? st ) Z(? f ix , xf ix ; ? end ), where xf ix is the state variable on the ? xing date. Substituting for L(? ex , xex ; ? st ), the payo? becomes (3. 7a)  · ? + F (? f ix , xf ix ; ? st , K) Z(? f ix , xf ix ; ? st ) Z(? f ix , xf ix ; ? end ) . = 1 + ? (K ? bs(? st )) ? N (? ix , xf ix ) N (? f ix , xf ix ) Z(? f ix , xf ix ; ? end ) Knowing the value of the ? oorlet on the ? xing date, we can use the Martingale valuation formula to ? nd the value on any earlier date t: Z 2 1 F (t, x; ? st , K) F (? f ix , xf ix ; ? st , K) e? (xf ix ? x) /2[? f ix ] =q dxf ix , (3. 7b) N (t, x) N (? f ix , xf ix ) 2? [? f ix ? ?] where ? f ix = ? (? f ix ) and ? = ? (t). Substituting the zero coupon bond formula 3. 4a and the payo? 3. 7a into the integral yields (3. 8a) where log (3. 8b) ? 1,2 =  µ 1 + ? (K ? bs) 1 + ? (L ? bs)  ¤ ?  ± 1 (hend ? hst )2 ? f ix ? ?(t) 2 q , (hend ? hst ) ? f ix ? (t)  ¶ F (t, x; ? st , K) = Z(t, x; ? end ) {[1 + ? (K ? bs)]N (? 1 ) ? [1 + ? (L ? bs)]N (? 2 )} , and where L ? L(t, x; ? st ) = (3. 8c)  µ  ¶ 1 Z(t, x; ? st ) ? 1 + bs(? st ) ? Z(t, x; ? end )  ¶  µ 1 Dst (hend ? hst )x? 1 (h2 ? h2 )? end st 2 = e ? 1 + bs(? st ) ? Dend 11 is the forward Libor rate for the period ? st to ? end , as seen at t, x. Here hst = h(? st ) and hend = h(? end ). For future reference, it is convenient to split o? the zero coupon bond value Z(t, x; ? end ). So de? ne the forwarded ? oorlet value by (3. 9) Ff (t, x; ? st , K) = F (t, x; ? st , K) Z(t, x; ? end ) = [1 + ? (K ? bs)]N (? 1 ) ? [1 + ? L(t, x; ? st ) ? bs)]N (? 2 ). Equations 3. 8a and 3. 9 are just Black’s formul as for the value of a European put option on a log normal asset, provided we identify (3. 10a) (3. 10b) (3. 10c) (3. 10d) 1 + ? (L ? bs) = asset’s forward value, 1 + ? (K ? bs) = strike, ? end = settlement date, and p ? f ix ? ? (hend ? hst ) v = ? = asset volatility, tf ix ? t where tf ix ? t is the time-to-exercise. One should not confuse ? , which is the ? oorlet’s â€Å"price volatility,† with the commonly quoted â€Å"rate volatility. † 3. 1. 3. Rollback. Obtaining the value of the Bermudan is straightforward, given the explicit formulas for the ? orlets, . Suppose that the LGM model has been calibrated, so the â€Å"model parameters† h(t) and ? (t) are known. (In Appendix A we show one popular calibration method). Let the Bermudan’s noti? cation dates be tex , tex+1 , . . . , tex . Suppose that if we exercise on date tex , we receive all coupon payments for the K k0 k0 k intervals k + 1, . . . , n and recieve all funding leg payments f or intervals ik , ik + 1, . . . , n. ? The rollback works by induction. Assume that in the previous rollback steps, we have calculated the reduced value (3. 11a) V + (tex , x) k = value at tex of all remaining exercises tex , tex . . . , tex k k+1 k+2 K N (tex , x) k at each x. We show how to take one more step backwards, ? nding the value which includes the exercise tex k at the preceding exercise date: (3. 11b) V + (tex , x) k? 1 = value at tex of all remaining exercises tex , tex , tex . . . . , tex . k? 1 k k+1 k+2 K N (tex , x) k? 1 Let Pk (x)/N (tex , x) be the (reduced) value of the payo? obtained if the Bermudan is exercised at tex . k k As seen at the exercise date tex the e? ective notional for date ? st is k (3. 12a) where we recall that (3. 12b) ? = ? end (? st ) ? tj , ? end (? st ) ? ? st ? = cvg(? st , ? end (? st )). 12 A(tex , x, ? t ) = k ?j Rf ix Z(tex , x; tj ) 1 k , Mj Z(tex , x; ? end ) 1 + Lf (tex , x; ? st ) k k Reconstructing the reduced value of the payo? (see equation 2. 15) yields (3. 13a) Pk (x) = N (tex , x) k n X ? j Rf ix Z(tex , x; tj ) k Mj N (tex , x) ? k tj X j=k+1 st =tj? 1 +1 ? 1 + (Rmax ? 1 ? ) 2 Ff (tex , x; ? st , Rmax + 1 ? ) k 2 1 + Lf (tex , x; ? st ) k ? ? 1 + (Rmax + 1 ? ) 2 Ff (tex , x; ? st , Rmax ? 1 ? ) k 2 1 + Lf (tex , x; ? st ) k 1 + (Rmin ? 1 ? ) 2 Ff (tex , x; ? st , Rmin + 1 ? ) k 2 1 + Lf (tex , x; ? st ) k 1 + (Rmin + 1 ? ) 2 + Ff (tex , x; ? st , Rmin ? 1 ? ) k 2 1 + Lf (tex , x; ? st ) k ? n ? X ? ? Z(tex , x, tik ? 1 ) ? Z(tex , x, tn ) Z(tex , x, ti ) k k k ? ? cvg(ti? 1 , ti )(bsi +mi ) ? ex , x) ex , x) . N (tk N (tk i=i +1 k ? This payo? includes only zero coupon bonds and ? oorlets, so we can calculate this reduced payo? explicitly using the previously derived formula 3. 9. The reduced valued including the kth exercise is clearly ? ? Pk (x) V + (tex , x) V (tex , x) k k = max , at each x. (3. 13b) N (tex , x) N (tex , x) N (tex , x) k k k Using the Martingale valuation formula we can â€Å"roll di? erences, trees, convolution, or direct integration to Z V + (tex , x) 1 k? 1 (3. 3c) =p N (tex , x) 2? [? k ? ? k? 1 ] k? 1 back† to the preceding exercise date by using ? nite compute the integral V (tex , X) ? (X? x)2 /2[? k k? 1 ] k dX e N (tex , X) k at each x. Here ? k = ? (tex ) and ? k? 1 = ? (tex ). k k? 1 At this point we have moved from tex to the preceding exercise date tex . We now repeat the procedure: k k? 1 at each x we t ake the max of V + (tex , x)/N (tex , x) and the payo? Pk? 1 (x)/N (tex , x) for tex , and then k? 1 k? 1 k? 1 k? 1 use the valuation formula to roll-back to the preceding exercise date tex , etc. Eventually we work our way k? 2 througn the ? rst exercise V (tex , x). Then today’s value is found by a ? nal integration: k0 Z V (tex , X) ? X 2 /2? V (0, 0) 1 k0 k0 dX. (3. 14) V (0, 0) = =p e N (0, 0) N (tex , X) 2 k0 k0 3. 2. Using internal adjusters. The above pricing methodology satis? es the ? rst criterion: Provided we use LGM (Hull-White) to price our Bermudan swaptions, and provided we use the same calibration method for accrual swaps as for Bermudan swaptions, the above procedure will yield prices that reduce to the Bermudan prices as Rmin goes to zero and Rmax becomes large. However the LGM model yields the following formulas for today’s values of the standard ? orlets: F (0, 0; ? st , K) = D(? end ) {[1 + ? (K ? bs)]N (? 1 ) ? [1 + ? (L0 ? bs)]N (? 2 )} log  µ  ¶ 1 + ? (K ? bs)  ± 1 ? 2 tf ix 2 mod 1 + ? (L0 ? bs) . v ? mod tf ix 13 (3. 15a) where (3. 15b) ?1,2 = Here (3. 15c) L0 = Dst ? Dend + bs(? st ) ? Dend is today’s forward value for the Libor rate, and (3. 15d) q ? mod = (hend ? hst ) ? f ix /tf ix 3. 2. 1. Obtaining the market vol. Floorlets are quoted in terms of the ordinary (rate) vol. Suppose the rate vol is quoted as ? imp (K). Then today’s market price of the ? oorlet is is the asset’s log normal volatility according to the LGM model. We did not calibrate the LGM model to these ? oorlets. It is virtually certain that matching today’s market prices for the ? oorlets will require using q an implied (price) volatility ? mkt which di? ers from ? mod = (hend ? hst ) ? f ix /tf ix . (3. 16a) where (3. 16b) Fmkt (? st , K) = ? D(? end ) {KN (d1 ) ? L0 N (d2 )} d1,2 = log K/L0  ± 1 ? 2 (K)tf ix 2 imp v ? imp (K) tf ix The price vol ? mkt is the volatility that equates the LGM ? oorlet value to this market value. It is de? ned implicitly by (3. 17a) with log (3. 17b) ? 1,2 =  µ  ¶ 1 + ? (K ? bs)  ± 1 ? 2 tf ix 2 mkt 1 + ? (L0 ? bs) v ? kt tf ix [1 + ? (K ? bs)]N (? 1 ) ? [1 + ? (L0 ? bs)]N (? 2 ) = ? KN (d1 ) ? ?L0 N (d2 ), (3. 17c) d1,2 = log K/L0  ± 1 ? 2 (K)tf ix 2 imp v ? imp (K) tf ix Equivalent vol techniques can be used to ? nd the price vol ? mkt (K) which corresponds to the market-quoted implied rate vol ? imp (K) : (3. 18) ? imp (K) = 1 + 5760 ? 4 t2 ix +  ·  ·  · 1+ imp f ? mkt (K) 1 2 1 4 2 24 ? mkt tf ix + 5760 ? mkt tf ix  µ log L0 /K  ¶ 1 + ? (L0 ? bs) 1 + ? (K ? bs) 1+ 1 2 24 ? imp tf ix log If this approximation is not su? ciently accurate, we can use a single Newton step to attain any reasonable accuracy. 14 igital floorlet value ? mod ? mkt L0/K Fig. 3. 1. Unadjusted and adjusted digital payo? L/K 3. 2. 2. Adjusting the price vol. The price vol ? mkt obtained from the market price will not match the q LGM model’s price vol ? mod = (hend ? hst ) ? f ix /tf ix . This is easily remedied using an internal adjuster. All one does is multiply the model volatility with the factor needed to bring it into line with the actual market volatility, and use this factor when calculating the payo? s. Speci? cally, in calculating each payo? Pk (x)/N (tex , x) in the rollback (see eq. 3. 13a), one makes the replacement k (3. 9) (3. 20) (hend ? hst ) q q ? mkt ? f ix ? ?(tex ) =? (hend ? hst ) ? f ix ? ?(t) k ? mod q p = 1 ? ?(tex )/? (tf ix )? mkt tf ix . k With the internal adjusters, the pricing methodology now satis? es the second criteria: it agrees with all the vanilla prices that make up the range note coupons. Essentially, all the adjuster does is to slightly â€Å"sharpen up† or â€Å"smear out† the digital ? oorlet’s payo? to match today’s value at L0 /K. This results in slightly positive or negative price corrections at various values of L/K, but these corrections average out to zero when averaged over all L/K. Making this volatility adjustment is vastly superior to the other commonly used adjustment method, which is to add in a ? ctitious â€Å"exercise fee† to match today’s coupon value. Adding a fee gives a positive or negative bias to the payo? for all L/K, even far from the money, where the payo? was certain to have been correct. Meeting the second criterion forced us to go outside the model. It is possible that there is a subtle arbitrage to our pricing methodology. (There may or may not be an arbitrage free model in which extra factors – positively or negatively correlated with x – enable us to obtain exactly these ? orlet prices while leaving our Gaussian rollback una? ected). However, not matching today’s price of the underlying accrual swap would be a direct and immediate arbitrage. 15 4. Range notes and callable range notes. In an accrual swap, the coupon leg is exchanged for a funding leg, which is normally a standard Libor leg plus a margin. U nlike a bond, there is no principle at risk. The only credit risk is for the di? erence in value between the coupon leg and the ? oating leg payments; even this di? erence is usually collateralized through various inter-dealer arrangements. Since swaps are indivisible, liquidity is not an issue: they can be unwound by transferring a payment of the accrual swap’s mark-to-market value. For these reasons, there is no detectable OAS in pricing accrual swaps. A range note is an actual bond which pays the coupon leg on top of the principle repayments; there is no funding leg. For these deals, the issuer’s credit-worthiness is a key concern. One needs to use an option adjusted spread (OAS) to obtain the extra discounting re? ecting the counterparty’s credit spread and liquidity. Here we analyze bullet range notes, both uncallable and callable. The coupons Cj of these notes are set by the number of days an index (usually Libor) sets in a speci? ed range, just like accrual swaps: ? tj X ? j Rf ix 1 if Rmin ? L(? st ) ? Rmax (4. 1a) Cj = , 0 otherwise Mj ? =t +1 st j? 1 where L(? st ) is k month Libor for the interval ? st to ? end (? st ), and where ? j and Mj are the day count fraction and the total number of days in the j th coupon interval tj? 1 to tj . In addition, these range notes repay the principle on the ? nal pay date, so the (bullet) range note payments are: (4. 1b) (4. 1c) Cj 1 + Cn paid on tj , paid on tn . j = 1, 2, . . . n ? 1, For callable range notes, let the noti? ation on dates be tex for k = k0 , k0 + 1, . . . , K ? 1, K with K < n. k Assume that if the range note is called on tex , then the strike price Kk is paid on coupon date tk and the k payments Cj are cancelled for j = k + 1, . . . , n. 4. 1. Modeling option adjusted spreads. Suppose a range note is issued by issuer A. ZA (t, x; T ) to be the value of a dollar paid by the note on date T , as seen at t, x. We assume that (4. 2) ZA (t, x; T ) = Z(t, x; T ) ? (T ) , ? (t) De? ne where Z(t, x; T ) is the value according to the Libor curve, and (4. 3) ? (? ) = DA (? ) . e D(? ) Here ? is the OAS of the range note. The choice of the discount curve DA (? ) depends on what we wish the OAS to measure. If one wishes to ? nd the range note’s value relative to the issuer’s other bonds, then one should use the issuer’s discount curve for DA (? ); the OAS then measures the note’s richness or cheapness compared to the other bonds of issuer A. If one wishes to ? nd the note’s value relative to its credit risk, then the OAS calculation should use the issuer’s â€Å"risky discount curve† or for the issuer’s credit rating’s risky discount curve for DA (? ). If one wishes to ? nd the absolute OAS, then one should use the swap market’s discount curve D(? , so that ? (? ) is just e . When valuing a non-callable range note, we are just determining which OAS ? is needed to match the current price. I. e. , the OAS needed to match the market’s idiosyncratic preference or adversion of the bond. When valuing a callable range note, we are ma king a much more powerful assumption. By assuming that the same ? can be used in evaluating the calls, we are assuming that (1) the issuer would re-issue the bonds if it could do so more cheaply, and (2) on each exercise date in the future, the issuer could issue debt at the same OAS that prevails on today’s bond. 16 4. 2. Non-callable range notes. Range note coupons are ? xed by Libor settings and other issuerindependent criteria. Thus the value of a range note is obtained by leaving the coupon calculations alone, and replacing the coupon’s discount factors D(tj ) with the bond-appropriate DA (tj )e tj : (4. 4a) VA (0) = n X j=1 ?j Rf ix DA (tj )e tj Mj  ¤ ?  ¤ ? 1 + (Rmax ? 1 ? ) B1 (? st ) ? 1 + (Rmax + 1 ? ) B2 (? st ) 2 2 ? [1 + L0 (? st )] ? st =tj? 1 +1  ¤ ?  ¤ ? 1 + (Rmin ? 1 ? ) B3 (? st ) ? 1 + (Rmin + 1 ? ) B4 (? st ) 2 2 ? ? [1 + L0 (? st )] +DA (tn )e tn . tj X Here the last term DA (tn )e n is the value of the notional repaid at maturity. As before, the B? are Black’s formulas, (4. 4b) B? (? st ) = Kj N (d? ) ? L0 (? st )N (d? ) 1 2 (4. 4c) d? = 1,2 log K? /L0 (? st )  ± 1 ? 2 (K? )tf ix 2 imp v ? imp (K? ) tf ix (4. 4d) K1,2 = Rmax  ± 1 ? , 2 K3,4 = Rmin  ± 1 ? , 2 and L0 (? ) is today’s forward rate: (4. 4e) Finally, (4. 4f) ? = ? end ? tj . ? en d ? ? st L0 (? st ) = D(? st ) ? D(? end ) ? D(? end ) 4. 3. Callable range notes. We price the callable range notes via the same Hull-White model as used to price the cancelable accrual swap. We just need to adjust the coupon discounting in the payo? function. Clearly the value of the callable range note is the value of the non-callable range note minus the value of the call: (4. 5) callable bullet Berm VA (0) = VA (0) ? VA (0). bullet Berm (0) is the today’s value of the non-callable range note in 4. 4a, and VA (0) is today’s value of Here VA the Bermudan option. This Bermudan option is valued using exactly the same rollback procedure as before, 17 except that now the payo? is (4. 6a) (4. 6b) Pk (x) = N (tex , x) k ? tj X st =tj? 1 +1 j=k+1 n X ? j Rf ix ZA (tex , x; tj ) k Mj N (tex , x) ? k 1 + (Rmax ? 1 ? ) 2 Ff (tex , x; ? st , Rmax + 1 ? ) k 2 1 + Lf (tex , x; ? st ) k ? ? + (Rmax + 1 ? ) 2 Ff (tex , x; ? st , Rmax ? 1 ? ) k 2 1 + Lf (tex , x; ? st ) k 1 + (Rmin ? 1 ? ) 2 Ff (tex , x; ? st , Rmin + 1 ? ) k 2 1 + Lf (tex , x; ? st ) k 1 + (Rmin + 1 ? ) 2 + Ff (tex , x; ? st , Rmin ? 1 ? ) k 2 1 + Lf (tex , x; ? st ) k ZA (tex , x, tn ) ZA (tex , x, tk ) k k + ? Kk ex , x) N (tk N (tex , x) k Here the bond speci? c reduced zero coupon bond value is (4. 6c) ex ex 1 2 ZA (tex , x, T ) D(tex ) k k = DA (T )e (T ? tk ) e? h(T )x? 2 h (T )? k , ex , x) N (tk DA (tex ) k ? the (adjusted) forwarded ? oorlet value is Ff (tex , x; ? st , K) = [1 + ? (K ? bs)]N (? 1 ) ? [1 + ? (L(tex , x; ? t ) ? bs)]N (? 2 ) k k log (4. 6d) ? 1,2 =  µ  ¶ 1 + ? (K ? bs)  ± 1 [1 ? ?(tex )/? (tf ix )]? 2 tf ix k mkt 2 1 + ? (L ? bs) p , v 1 ? ?(tex )/? (tf ix )? mkt tf ix k  ¶ Z(tex , x; ? st ) k ? 1 + bs(? st ) Z(tex , x; ? end ) k  ¶ (hend ? hst )x? 1 (h2 ? h2 )? ex end st k ? 1 + bs(? 2 e st ) 1 = ?  µ and the forward Libor value is (4. 6e) (4. 6f) L? L (tex , x; ? st ) k  µ Dst Dend 1 = ? The only remaining issue is calibration. For range notes, we should use constant mean reversion and calibrate along the diagonal, exactly as we did for the cancelable accrual swaps. We only need to specify the strikes of the reference swaptions. A good method is to transfer the basis spreads and margin to the coupon leg, and then match the ratio of the coupon leg to the ? oating leg. For exercise on date tk , this ratio yields (4. 7a) n X ?k = ? j Rf ix DA (tj )e (tj ? tk ) Mj Kk DA (tk ) j=k+1 (?  ¤ ?  ¤ 1 + (Rmax ? 1 ? ) B1 (? st ) ? 1 + (Rmax + 1 ? ) B1 (? st ) 2 2 ? [1 + L0 (? st )] ? st =tj? 1 +1 )  ¤ ?  ¤ ? 1 + (Rmin ? 1 ? ) B3 (? st ) ? 1 + (Rmin + 1 ? ) B3 (? st ) 2 2 ? 1 + Lf (tex , x; ? st ) k tj X + DA (tn )e (tn ? tk ) Kk DA (tk ) 18 As before, the Bj are dimensionless Black formulas, (4. 7b) B? (? st ) = K? N (d? ) ? L0 (? st )N (d? ) 1 2 d? = 1,2 log K? /L0 (? st )  ± 1 ? 2 (K? )tf ix 2 imp v ? imp (K? ) tf ix K3,4 = Rmin  ± 1 ? , 2 (4. 7c) (4. 7d) K1,2 = Rmax  ± 1 ? , 2 and L0 (? st ) is today’s forward rate: Appendix A. Calibrating the LGM model. The are several methods of calibrating the LGM model for pricing a Bermudan swaption. The most popular method is to choose a constant mean reversion ? , and then calibrate on the diagonal European swaptions making up the Bermudan. In the LGM model, a â€Å"constant mean reversion ? † means that the model function h(t) is given by (A. 1) h(t) = 1 ? e t . ? Usually the value of ? s selected from a table of values that are known to yield the correct market prices of liquid Bermudans; It is known empirically that the needed mean reversion parameters are very, very stable, changing little from year to year. ? 1M 3M 6M 1Y 3Y 5Y 7Y 10Y 1Y -1. 00% -0. 75% -0. 50% 0. 00% 0. 25% 0. 50% 1. 00% 1. 50% 2Y -0. 50% -0. 25% 0. 00% 0. 25% 0. 50% 1. 00% 1. 25% 1. 50% 3Y -0. 25% 0. 00% 0. 25% 0. 50% 1. 00% 1. 25% 1. 50% 1. 75% 4Y -0. 25% 0. 00% 0. 25% 0. 50% 1. 00% 1. 25% 1. 50% 1. 75% 5Y -0. 25% 0. 00% 0. 25% 0. 50% 1. 00% 1. 25% 1. 50% 1. 75% 7Y -0. 25% 0. 00% 0. 25% 0. 50% 1. 00% 1. 25% 1. 50% 1. 75% 10Y -0. 25% 0. 0% 0. 25% 0. 50% 1. 00% 1. 25% 1. 50% 1. 75% Table A. 1 Mean reverssion ? for Bermudan swaptions. Rows are time-to-? rst exercise; columns are tenor of the longest underlying swap obtained upon exercise. With h(t) known, we only need determine ? (t) by calibrating to European swaptions. Consider a European swaption with noti? cation date tex . Suppose that if one exercises the option, one recieves a ? xed leg worth (A. 2a) Vf ix (t, x) = n X i=1 Rf ix cvg(ti? 1 , ti , dcbf ix )Z(t, x; ti ), and pays a ? oating leg worth (A. 2b) Vf lt (t, x) = Z(t, x; t0 ) ? Z(t, x; tn ) + n X i=1 cvg(ti? 1 , ti , dcbf lt ) bsi Z(t, x; ti ). 9 Here cvg(ti? 1 , ti , dcbf ix ) and cvg(ti? 1 , ti , dcbf lt ) are the day count fraction s for interval i using the ? xed leg and ? oating leg day count bases. (For simplicity, we are cheating slightly by applying the ? oating leg’s basis spread at the frequency of the ? xed leg. Mea culpa). Adjusting the basis spread for the di? erence in the day count bases (A. 3) bsnew = i cvg(ti? 1 , ti , dcbf lt ) bsi cvg(ti? 1 , ti , dcbf ix ) allows us to write the value of the swap as (A. 4) Vswap (t, x) = Vf ix (t, x) ? Vf lt (t, x) n X = (Rf ix ? bsi ) cvg(ti? 1 , ti , dcbf ix )Z(t, x; ti ) + Z(t, x; tn ) ? Z(t, x; t0 ) i=1 Under the LGM model, today’s value of the swaption is (A. 5) 1 Vswptn (0, 0) = p 2 (tex ) Z e? xex /2? (tex ) 2 [Vswap (tex , xex )]+ dxex N (tex , xex ) Substituting the explicit formulas for the zero coupon bonds and working out the integral yields (A. 6a) n X (Rf ix ? bsi ) cvg(ti? 1 , ti , dcbf ix )D(ti )N Vswptn (0, 0) = where y is determined implicitly via (A. 6b) y + [h(ti ) ? h(t0 )] ? ex p ? ex i=1 A A ! ! y + [h(tn ) ? h(t0 )] ? ex y p ? D(t0 )N p , +D(tn )N ? ex ? ex A ! n X 2 1 (Rf ix ? bsi ) cvg(ti? 1 , ti , dcbf ix )e? [h(ti )? h(t0 )]y? 2 [h(ti )? h(t0 )] ? ex i=1 +D(tn )e? [h(tn )? h(t0 )]y? [h(tn )? h(t0 )] 1 2 ? ex = D(t0 ). The values of h(t) are known for all t, so the only unknown parameter in this price is ? (tex ). One can show that the value of the swaption is an increasing function of ? (tex ), so there is exactly one ? (tex ) which matches the LGM value of the swaption to its market price. This solution is easily found via a global Newton iteration. T o price a Bermudan swaption, one typcially calibrates on the component Europeans. For, say, a 10NC3 Bermudan swaption struck at 8. 2% and callable quarterly, one would calibrate to the 3 into 7 swaption struck at 8. 2%, the 3. 25 into 6. 5 swaption struck at 8. 2%, †¦ , then 8. 75 into 1. 25 swaption struck at 8. 25%, and ? nally the 9 into 1 swaption struck at 8. 2%. Calibrating each swaption gives the value of ? (t) on the swaption’s exercise date. One generally uses piecewise linear interpolation to obtain ? (t) at dates between the exercise dates. The remaining problem is to pick the strike of the reference swaptions. A good method is to transfer the basis spreads and margin to the coupon leg, and then match the ratio of the coupon leg to the funding leg to the equivalent ratio for a swaption. For the exercise on date tk , this ratio is de? ed to be 20 n X ? j D(tj ) (A. 7a) ? k = Mj D(tk ) ? j=k+1 D(tn ) X D(ti ) + cvg(ti? 1 , ti )(bs0 +mi ) ? i D(tk ) i=1 D(tk ) n  ¤ ?  ¤ 1 + (Rmax ? 1 ? ) B1 (? st ) ? 1 + (Rmax + 1 ? ) B2 (? st ) 2 2 ? [1 + L0 (? st )] st =tj? 1 +1  ¤ ?  ¤ ? 1 + (Rmin ? 1 ? ) B3 (? st ) ? 1 + (Rmin + 1 ? ) B4 (? st ) 2 2 ? ? [1 + L0 (? st )] tj X ? where B? are Black’s formula at strikes around the boundaries: (A. 7b) B? (? st ) = ? D(? end ) {K? N (d? ) ? L0 (? st )N (d? )} 1 2 d? = 1,2 log K? /L0 (? st )  ± 1 ? 2 (K? )tf ix 2 imp v ? imp (K? ) tf ix (A. 7c) with (A. 7d) K1,2 = Rmax  ± 1 ? , 2 K3,4 = Rmin  ± 1 ?. 2 This is to be matched to the swaption whose swap starts on tk and ends on tn , with the strike Rf ix chosen so that the equivalent ratio matches the ? k de? ned above: (A. 7e) ? k = n X i=k+1 (Rf ix ? bsi ) cvg(ti? 1 , ti , dcbf ix ) D(ti ) D(tn ) + D(tk ) D(tk ) The above methodology works well for deals that are similar to bullet swaptions. For some exotics, such as amortizing deals or zero coupon callables, one may wish to choose both the tenor of the and the strike of the reference swaptions. This allows one to match the exotic deal’s duration as well as its moneyness. Appendix B. Floating rate accrual notes. 21