scholarly journals A new approximate CVA of interest rate swap in the SABR/LIBOR market model: an asymptotic expansion approach

2011 ◽  
Vol 4 ◽  
pp. 1412-1421
Author(s):  
Masahiro Nisiba
Keyword(s):  
Asymptotic Expansion ◽  
Interest Rate ◽  
Market Model ◽  
Libor Market Model ◽  
Interest Rate Swap ◽  
Rate Swap

The Components of Interest Rate Swap Spreads: Theory and International Evidence

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 34-36
Author(s):  
Robert A. McLean
Keyword(s):  
Interest Rate ◽  
Interest Rate Swap ◽  
International Evidence ◽  
Swap Spreads ◽  
Rate Swap

scholarly journals Fiscal policy events and interest rate swap spreads: Evidence from the EU

2007 ◽  
Vol 17 (3) ◽  
pp. 261-276 ◽  
Author(s):  
António Afonso ◽  
Rolf Strauch
Keyword(s):  
Fiscal Policy ◽  
Interest Rate ◽  
Interest Rate Swap ◽  
Swap Spreads ◽  
Rate Swap ◽  
The Eu

Interest Rate Swap Compounding Formulae

2021 ◽  
Author(s):  
Nicholas Burgess
Keyword(s):  
Interest Rate ◽  
Interest Rate Swap ◽  
Rate Swap

The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets

2001 ◽  
pp. 287-308
Author(s):  
Young Ho Eom ◽  
Marti G. Subrahmanyam ◽  
Jun Uno
Keyword(s):  
Interest Rate ◽  
Interest Rate Swap ◽  
Swap Spreads ◽  
International Linkage ◽  
Rate Swap

Ripple Effects, the Long-Run Relationship, and Dynamic Corrections among Interest Rate Swap Spreads

2018 ◽  
Vol 27 (4) ◽  
pp. 40-52
Author(s):  
Kenneth A. Tah ◽  
Geoffrey Ngene
Keyword(s):  
Interest Rate ◽  
Ripple Effects ◽  
Interest Rate Swap ◽  
Long Run ◽  
Swap Spreads ◽  
Rate Swap

Yield Curves, Swap Curves, and Term Structure of Interest Rates

2019 ◽  
pp. 203-228
Author(s):  
Tom P. Davis ◽  
Dmitri Mossessian
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Yield Curves ◽  
No Arbitrage ◽  
Interest Rate Swap ◽  
The Interest Rate ◽  
Rate Swap ◽  
The U.S

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the yield curve and examines the basic principles of the arbitrage-free pricing as they apply to yield curve construction. The chapter also reviews cases in which the no-arbitrage assumption is dropped from the yield curve, and then moves to specifics of the arbitrage-free curve construction for bond and swap markets. The concepts of equilibrium and market curves are introduced. The details of construction of both types of the curve are illustrated with examples from the U.S. Treasury market and the U.S. interest rate swap market. The chapter concludes by examining the major changes to the swap curve construction process caused by the financial crisis of 2007–2008 that made a profound impact on the interest rate swap markets.

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