-
Extendable Swap Pricing Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Derivative securities
- Item Type:
- Essay
- Tag(s):
- extendable swap
- Permanent URL:
- https://doi.org/10.17613/wdnt-bd30
- Abstract:
- The model estimates the swap price as a risk-neutral expectation of the difference between the bond price whose yield-to-maturity is the swap rate and the bond’s par. The swap rate is considered a log-normally distributed random variable.
- Notes:
- https://finpricing.com/lib/FiBond.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 7 months ago
- License:
- Attribution
extendableswap.pdf