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612-822-4611
A Simplified Method for pricing Interest Rate Swaps and Swaptions: Collected Swap Pricing Articles of David Smith

A Simplified Method for pricing Interest Rate Swaps and Swaptions: Collected Swap Pricing Articles of David Smith

Paperback

Investing & Finance

ISBN10: 1535369442
ISBN13: 9781535369442
Publisher: Createspace
Published: Aug 24 2016
Pages: 44
Weight: 0.37
Height: 0.11 Width: 8.50 Depth: 11.00
Language: English
This book is a collection of three articles written by David Smith on interest rate swap and swaption pricing. It is a simplified approach that uses the bootstrap method to derive a zero coupon curve. For the swap option pricing a basic Black Commodity model is used. Useful for educational and training purposes for beginners to the field. Practical examples are provided

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Investing & Finance