Title

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

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