EXHIBIT 5: The Convergence Results for the Callable Capped Floater Swap
The callable capped floater swap has more than 10 years remaining in its lifetime. The floating leg has a quarterly payment frequency. The structural leg has a semi-annually payment frequency. The call schedule is semi-annual.=1 and drift approximation is CEDT. Each curve represents the convergence behavior for a given grid space (phi) as nodes (N) are added.