In this article, we test the implied volatility of a credit risk of a bond, an interest rate swap and a swaption of … rate swap is linked to an option. The integration of an interest rate swap with an option is known as swaption. The swap … market has no government regulation, there is no clearinghouse and the swap dealer has to price the swap transactions and …

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 …