THE LEHMAN BROTHERS SWAP INDEXES - This article discusses two families of total return indexes based on swaps. Bellwether swap indexes track the performance of swaps with specific maturities. Mirror swap indexes provide excess returns of popular Lehman sector indexes with respect to swaps. The results show that swap spreads are highly correlated with corporate spreads, except when the yield curve ...
| Year of publication: |
2002
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| Authors: | Dynkin, Lev ; Greenfield, Yuri ; Joneja, Dev |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 12.2002, 2, p. 28-42
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