Extendable Swap Valuation
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29.11.2022
Co-author
Affiliation
BMO
Main category
Economics (General Management)
Abstract
The model estimates the swap price as a risk-neutral expectation of the difference between the bond price whose yield-to-maturity is the swap rate and the bond’s par. The swap rate is considered a log-normally distributed random variable.
Further information
Further reading
https://ia601509.us.archive.org/6/items/extendableSwap/extendableSwap.pdf
Language
English
DOI
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