CONSTANT MATURITY PRODUCTS: FORWARD CMS RATE ADJUSTMENT - Current models do not correctly adjust for convexity in forward constant maturity swap rates.
| Year of publication: |
2001
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|---|---|
| Authors: | Pugachevsky, Dmitry |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 14.2001, 3, p. 125-128
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