Pricing Early Start Swap
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01.12.2022
Co-author
Affiliation
BMO
Main category
Economics (General Management)
Abstract
Early start swaps are a series of interest rate swaps. Each swap has an American style option for the counterparty of starting the swap early, within a period of three month. Otherwise, the swaps are plain vanilla fixed-for-floating swaps.
Further information
Further reading
https://ia601500.us.archive.org/35/items/earlyStartSwap/earlyStartSwap.pdf
Language
English
DOI
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