Basis swaps are swaps where, instead of one payment stream being based on a fi xed interest

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Basis swaps are swaps where, instead of one payment stream being based on a fi xed interest rate, both payment streams are based on fl oating interest rates.

Why might anyone be interested in entering a fl oating-for-fl oating interest-rate swap? (You should assume that both payment fl ows are denominated in the same currency.)

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Money Banking And Financial Markets

ISBN: 9780073375908

3rd Edition

Authors: Stephen Cecchetti, Kermit Schoenholtz

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