Main category
Economics (General Management)
Abstract
A daily digital LIBOR swap that has two legs. One leg is a regular floating leg and the other leg is a Libor-based, daily digital leg. The daily digital leg is weighted by the ratio of the number of calendar days in the period that the reference rate sets below an upper level to the total number of calendar days in the period.
Further reading
https://ia601405.us.archive.org/35/items/dailyDigital/dailyDigital.pdf
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