Consider the equation for the par swap rate under OIS discounting in Section 12.1.3. If the OIS-Libor
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Consider the equation
for the par swap rate under OIS discounting in Section 12.1.3. If the OIS-Libor spread is zero, show that this reduces to the classical equation D(0,T0) – D (0, TN) = Suppose that the OIS-Libor spread is a constant s, i.e. Express the swap rate RΔN in terms of the classical swap rate RN and the spread s.
Section 12.1.3.
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