The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates

We introduce here for the first time the long-term swap rate, char- acterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term yield, and the long-term simple rate, considered as long-term discounting rate. We finally investigate the existence of these long-term rates in two term structure methodologies, the Flesaker-Hughston model and the linear-rational model

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Year of publication:	2015
Authors:	Biagini, Francesca
Other Persons:	Gnoatto, Alessandro (contributor) ; Härtel, Maximilian (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Zins \| Interest rate \| Swap \| Theorie \| Theory

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