Convexity Bias in the Pricing of Interest Rate Swaps
For example, in the USD swap market, the day count is 30/360 with semi-annual payments; in the DEM market, it is 30/360 with annual payments, while in the JPY market, the day-count convention is Actual/365 with semi-annual payments. The underlying floating rate also varies across currencies; for instance, in the case of the USD swap market, it was the six-month LIBOR. ................
................
To fulfill the demand for quickly locating and searching documents.
It is intelligent file search solution for home and business.
Related download
- chapter 17 foreign exchange risk
- test bank university of detroit mercy
- 403 final worth 17 points brainmass
- chapter 7 net present value and capital budgeting
- microeconomics 7e pindyck rubinfeld
- answers to final exams exinfm
- convexity bias in the pricing of interest rate swaps
- index of
- solutions to chapter 4 university of windsor
Related searches
- careers in the field of business
- types of interest rate risk
- unconscious bias in the workplace powerpoint
- unconscious bias in the workplace
- unconscious bias in the workplace examples
- in the arms of the angels
- in the arms of the angels youtube
- the church in the book of acts
- implicit bias in the workplace
- muscles in the back of the neck
- unconscious bias in the workplace ppt
- pain in the center of the chest