The components of interest rate swap spr
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Frank Fehle
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Article
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2003
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John Wiley and Sons
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English
β 229 KB
π 2 views
## 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