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.