Chen, Andrew H.; Chaudhury, Mohammed M. - In: Research in finance : Vol. 19, (pp. 199-239). 2002
At the time of initiation, interest rate swaps are of zero market value to the counterparties involved. However, as time passes, the market value of the swap position of counterparty may become positive or negative. In this paper, we examine the market values and dynamic interest rate risks of...