This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It … examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap … autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the long-term swap yield. The change in the …

US longterm swap yields by econometrically modeling its dynamics using an autoregressive distributed lag (ARDL) approach … bill rate on the monthly changes in swap yields of different maturity tenors after controlling for a host of macroeconomic …

-the-counter financial derivatives by econometrically modeling the dynamics of the pound sterling-denominated longterm interest rate swap … relationship between the month-over-month changes in the short-term swap yield and the month-over-month change in the long …-term swap yield, while controlling for several key macroeconomic and financial variables. The month-overmonth change in the …

-Scholes result. We show that a swaption pricing formula is nothing more than the Black-76 formula scaled by the underlying swap … discuss how to evaluate and price an interest swap, which is the swaption underlying instrument. We proceed to examine how to …