Main category
Economics (General Management)
Abstract
A pricing model is presented for pricing cancelable fixed-for-floating interest rate swap. Here, party A makes regular payments that depend on the average level of a Libor rate over a set of Asian observation points, while party B makes upfront fixed rate payments.
Further reading
https://ia904707.us.archive.org/17/items/cancellableSwap/cancellableSwap.pdf
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