The Market Value and Dynamic Interest Rate Risk of Swaps
Publication Date
1-23-1997
Abstract
At the time of initiation, interest rate swaps are of zero market value to the counterparties involved. However, as time passes, the market value of the swap position of each counterparty may become positive or negative. These value changes are stochastic
Document Type
Article
Disciplines
Finance
DOI
10.2139/ssrn.716
Source
SMU Cox: Finance (Topic)
Language
English
