24 February 2012
White Paper: Do you really know how to price an interest rate swap?
The financial crisis has had a profound and pervasive effect
on the pricing of interest rate derivatives. The accurate pricing
of an interest rate swap is the foundation for running an interest
rate business, making markets and managing risk.
However, it’s become much more difficult to correctly price and
manage risk around this most vanilla of all derivatives instruments.
Why is that the case? This article seeks to outline the evolution of
swap pricing and understand the market problems that remain.
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