## Abstract This article contains both a theoretical and an empirical analysis of the components of interest rate swap spreads defined as the difference between the fixed swap rate and the riskβfree rate of equal maturity. The components are determined by expected LIBOR spreads, default risk, and m
An Analytic Solution for Interest Rate Swap Spreads
β Scribed by Mark Grinblatt
- Book ID
- 108565436
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 400 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1369-412X
No coin nor oath required. For personal study only.
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