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| Tekijä: | Kawaller, I. G. |
| Otsikko: | Interest rate swaps versus Eurodollar strips. |
| Lehti: | Financial Analysts' Journal
1989 : SEP/OCT, VOL. 45:5, p. 55-61 |
| Asiasana: | SWAPS MARKET INTEREST RATES EURODOLLARS FLOATING RATES |
| Kieli: | eng |
| Tiivistelmä: | Study of interest rate swaps: floating to fixed, and fixed to floating rate, designed to offset or hedge rate exposures, related to strips of Eurodollar futures contracts. "Plain vanilla" swap agreement. Calculating strip yields. The zero-coupon strip. Bond equivalent yields. Real world considerations. Extensions and refinements. Seven Tables illustrate the analysis and a Figure outlines the "plain vanilla" swap. |
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