A Consistent Framework for Modelling Basis Spreads in Tenor Swaps
Year of publication: |
2014-05-01
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Authors: | Chang, Yang ; Schlogl, Erik |
Institutions: | Finance Discipline Group, Business School |
Subject: | tenor swap | basis | frequency basis | liquidity risk | swap market |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 348 54 pages |
Classification: | C6 - Mathematical Methods and Programming ; C63 - Computational Techniques ; G1 - General Financial Markets ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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