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Interest rate swaps pricing
O'Reilly T.; Martínez Abascal, EduardoTechnical Note FN-392-EFinanceBasic steps to price an interest rate swap, including an example based on real market data: yield curve, discount factors for floating and fixed payments, forward rates for floating payments, calculation of payments.Starting at €8.20
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An Introduction to Swaps
Martínez Abascal, Eduardo; O'Reilly T.Technical Note FN-367-EFinanceConcept of swap. How it works. Different kinds of swaps. Volumes traded in swaps. Uses of swaps. The note is very elemental and easy; it provides examples to follow the exposition of concepts.Starting at €8.20