Donald J. Smith
Abstract
This chapter contains sections titled: Pricing an Interest Rate Swap Interest Rate Forwards and Futures Inferring the Forward Curve Valuing an Interest Rate Swap Interest Rate Swap Duration and Convexity Conclusion
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This chapter contains sections titled: Pricing an Interest Rate Swap Interest Rate Forwards and Futures Inferring the Forward Curve Valuing an Interest Rate Swap Interest Rate Swap Duration and Convexity Conclusion
Key concepts: Interest rate swap, Swap (finance), Interest rate derivative, Futures contract, Interest rate, Floating interest rate, Convexity, Heath–Jarrow–Morton framework