This paper models the dynamics of Chinese yuan (CNY)-denominated long-term interest rate swap yields. The financial …-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables … of the long-term swap yield. The empirical findings show that the People's Bank of China's influence extends even to the …

Explicit and semi-explicit formulae are obtained for swap futures within a HJM one factor model. The convexity …

CME will soon be proposing a new product: Deliverable Interest Rate Swap Futures. This note describes the product and …

The effect of European Central Bank monetary policy upon EONIA swap spreads is investigated with GARCH-Jump models. I … between main refinancing operations increase the likelihood of jumps in the swap term structure and in the size of the jumps …

We propose an alternative swap rate model for the pricing and hedging of swap rate path dependent European payoffs. We … derive the absence of arbitrage condition for the conditional expectation approximation. The swap rate model relies on … approach is illustrated on the variance swap example …

analysis of a portfolio hedging by means of a portfolio including swaps. Particularly, we are able to clarify the suitable swap … instruments (as VIX futures, inverse ETF, Swap future ...) for the hedging purpose instead of just using a classical bond …

structure of HIBOR (Hong Kong Interbank Offered Rate) swap rates by means of the Nelson-Siegel factors and principal components … yield levels. Further, we survey the predictability in the shape of the swap yield curve for these models. Our results … forecasting HIBOR swap yields …

We compare zero yield and asset swap spreads both being used to specify the credit risk component in bond pricing. We … investigate how these both figures are related and how the asset swap spread depends on other pricing factors such as the riskfree …