This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows … EUR swap yields of different maturity tenors, after controlling for various macroeconomic and financial variables, such as … in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …

This paper analyzes the dynamics of Canadian dollar-denominated (CAD) interest rate swap yields. It applies …-term interest rate and other relevant macro-financial variables on interest rate swap yields. It shows that the current short …-term interest rate is a crucial driver of the swap yields of different maturity tenors. Similar patterns of interest rate swaps …

when he notices an unusually low -- and briefly negative -- thirty-year U.S. dollar fixed-floating swap spread. Mills must …, swap spread), and financing arrangements, particularly repurchase agreements, that support relative-value strategies … spreads, such as LIBOR, TED spread, and swap spread; to review or introduce valuation of fixed-income securities and …

.S. dollar fixed-floating swap spread. He must decide what to do next.Learning Objective:This case may be used: to introduce …, and swap spread; to review or introduce valuation of fixed-income securities and derivatives and associated measures of …