EXHIBIT 6: The Convergence Results for the Callable Range
Accrual Swap
The callable range accrual swap has 10 years maturity. The floating leg
has a quarterly payment frequency. The structural leg has a
semi-annually payment frequency. There are 7 call opportunities. =1 and
drift approximation is CEDT. Each curve represents the convergence
behavior for a given grid space (phi) as nodes are added.