Interest Rate Swap Compounding Formulae
| Year of publication: |
[2021]
|
|---|---|
| Authors: | Burgess, Nicholas |
| Publisher: |
[S.l.] : SSRN |
| Subject: | Zinsderivat | Interest rate derivative | Swap | Theorie | Theory | Zins | Interest rate |
| Description of contents: |
In this short paper, we outline geometric and arithmetic compound formulae for interest rate swaps. We also present ISDA protocol when compounding with a floating spread
|
freely available
| Extent: | 1 Online-Ressource (2 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 7, 2021 erstellt |
| Other identifiers: | 10.2139/ssrn.3882163 [DOI] |
| Classification: | C00 - Mathematical and Quantitative Methods. General ; C02 - Mathematical Methods ; D40 - Market Structure and Pricing. General ; D46 - Value Theory ; E40 - Money and Interest Rates. General ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; F30 - International Finance. General ; G10 - General Financial Markets. General ; G12 - Asset Pricing ; G15 - International Financial Markets |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013217334