Negative Swap Spreads and Limited Arbitrage
收藏NBER2019-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w25422
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资源简介：
Since October 2008 fixed rates for interest rate swaps with a thirty year maturity have been mostly below treasury rates with the same maturity. Under standard assumptions this implies the existence of arbitrage opportunities. This paper presents a model for pricing interest rate swaps where
提供机构：
美国国家经济研究局
创建时间：
2019-01-01
