16.11. Explain how an interest rate swap is mapped into a portfolio of zero-coupon bonds with standard

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16.11. Explain how an interest rate swap is mapped into a portfolio of zero-coupon bonds with standard maturities for the purposes of a VaR calculation.

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Fundamentals Of Futures And Options Markets

ISBN: 9780130176028

4th Edition

Authors: John C. Hull

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Question Posted: Jul 27, 2024 03:00 AM

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16.11. Explain how an interest rate swap is mapped into a portfolio of zero-coupon bonds with standard

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Fundamentals Of Futures And Options Markets

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