Consider a swap with starting date T0 and a fixed rate K For t T0, show that Vfl t Vfix t L ,T0 t K, where L ,T0 t is the forward swap rate ...

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Consider a swap with starting date T0 and a fixed rate K. For t T0, show

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Consider a swap with starting date T0 and a fixed rate K. For t ≤ T0, show that Vfl t /Vfix t = L˜ δ,T0 t /K, where L˜ δ,T0 t is the forward swap rate.

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Financial Asset Pricing Theory

ISBN: 9780198716457

1st Edition

Authors: Claus MUNK

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Question Posted: Jul 20, 2024 09:00 AM

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Consider a swap with starting date T0 and a fixed rate K. For t T0, show

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Financial Asset Pricing Theory

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