Exercise . Consider a swap with starting date T and a fixed rate K. For t

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Exercise . Consider a swap with starting date T and a fixed rate K. For t ≤ T, show that Vfl t /Vfix t = L˜ δ,T

t /K, where L˜ δ,T

t is the forward swap rate.

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Fixed Income Modelling

ISBN: 978-0198716440

1st Edition

Authors: Claus Munk

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Question Posted: Oct 29, 2024 09:01 AM

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Exercise . Consider a swap with starting date T and a fixed rate K. For t

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Fixed Income Modelling

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