Interest rate swaps under CIR. (Q1426797)
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scientific article; zbMATH DE number 2057246
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Interest rate swaps under CIR. |
scientific article; zbMATH DE number 2057246 |
Statements
Interest rate swaps under CIR. (English)
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15 March 2004
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fixed income
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Green functions
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mean-reverting Cox-Ingersoll-Ross model
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vanilla swap
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arrears swap
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0.83971924
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0.8203318
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0.81990194
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0.81283545
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0.78836197
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