EXERCISE 6.3 Let l T 0 (k) be the equilibrium swap rate for a swap with payment

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EXERCISE 6.3 Let ˜l

T 0 (k) be the equilibrium swap rate for a swap with payment dates T1, T2, . . . , Tk, where Ti = T0 + i as usual. Suppose that ˜l

T 0 (1), . . . ,˜l

T 0 (n) are known. Find a recursive procedure for deriving the associated discount factors BT1 T0

,BT2 T0

, . . . ,BTn T0

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Fixed Income Analysis Securities Pricing And Risk Management

ISBN: 218144

1st Edition

Authors: Claus Munk

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Question Posted: Oct 30, 2024 02:00 AM

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EXERCISE 6.3 Let l T 0 (k) be the equilibrium swap rate for a swap with payment

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Fixed Income Analysis Securities Pricing And Risk Management

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