Main category
Social Sciences (Economics)
Abstract
A daily digital LIBOR swap is an interest rate swap whose reference interest rate is three-month USD Libor BBA. For each accrual period in the swap, one party receives the reference rate, and pays the reference rate plus a positive spread, but 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://ia601806.us.archive.org/32/items/osfdaily-digital/OSFdailyDigital.pdf
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