-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 …

This working paper describes the adjustment needed to price Libor in Arrears Swaps …

between major constant maturity swap (CMS) indexes, we propose an easy-to-implement two-factor model for valuing CMS spread …

include affine, quadratic-Gaussian, and various stochastic volatility models of the term structure. Then we turn to models …

Using ‘low-frequency' volatility extracted from aggregate volatility shocks in interest rate swap (hereafter, IRS … across the different swap maturities but is robust to alternative volatility specifications. This linkage between swap market …) market, this paper investigates whether Japanese yen IRS volatility can be explained by macroeconomic risks. The analysis …