Convexity Bias in the Pricing of Interest Rate Swaps
The fixed rate is some spread above the Treasury yield curve with the same term to maturity as the swap. Suppose the five-year Treasury yield is 9.0%. Then the offer price that the dealer would quote to the fixed-rate payer is the five-year Treasury rate plus 50 basis points versus receiving LIBOR flat. ................
................
To fulfill the demand for quickly locating and searching documents.
It is intelligent file search solution for home and business.
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