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A Primer on Convexity Adjustments for Libor in Arrears and Constant Maturity Swaps - Part 1

Year of publication:
2010
Authors: Srinivasan, Ram
Publisher: [2010]: [S.l.] : SSRN
Subject: Zinsderivat | Interest rate derivative | Swap | Theorie | Theory | Fälligkeit | Maturity | Zinsstruktur | Yield curve
Description of contents:
This working paper describes the adjustment needed to price Libor in Arrears Swaps
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