-
Early Start Swap Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Scholarly Communication
- Subject(s):
- Derivative securities, Derivative securities--Valuation
- Item Type:
- Essay
- Tag(s):
- early start swap, swap valuation
- Permanent URL:
- https://doi.org/10.17613/jsxm-wj93
- Abstract:
- Early start swaps are a series of 10-year interest rate swaps. Each swap has an American style option for the counterparty of starting the swap early, within a period of three month. Otherwise, the swaps are plain vanilla fixed-for-floating swaps.
- Notes:
- https://finpricing.com/lib/EqCliquet.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 8 months ago
- License:
- Attribution
earlystartswap.pdf