Schröder, Thomas; Dunbar, Kwamie - John F. Welch College of Business, Sacred Heart University - 2010
Bond issuers frequently immunize/hedge their interest rate exposure by means of interest rate swaps (IRS). The receiving leg matches all bond cash-flows, while the pay leg requires floating rate coupon payments of form LIBOR + a spread. The goal of hedging against interest rate risk is only...