Výsledky vyhledávání - "forward rate agreement"

Akademický článek

Investigation of the fractal footprint in selected EURIBOR panel banks

Autor: Bikramaditya Ghosh, Corlise Le Roux, Anjali Verma

Publikováno v: Banks and Bank Systems, Vol 15, Iss 1, Pp 185-198 (2020)

EURIBOR emerged as a conventional proxy for a risk-free rate for a reasonably long period of time after the creation of the Eurozone. However, the joy was short-lived, as the global credit crisis shook the markets in mid-2008. Significant counterpart

Externí odkaz: https://doaj.org/article/60bd8f47e10c42819dffee185ec2ee31

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Elektronická kniha

Valuing and Analyzing Fixed Income Derivatives

Autor: Simsek, Koray D., author, Kiymaz, Halil, author

Publikováno v: Debt Markets and Investments, 2019, ill.

Externí odkaz: https://doi.org/10.1093/oso/9780190877439.003.0027

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Arrear Forward Rate Agreement Model

Autor: Lee, David

It has been well known that a convexity adjustment must be considered in pricing a set-in-arrear forward rate agreement (FRA). It also becomes market convention to do so.
https://finpricing.com/lib/FiBondAccrual.html

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6432dc452a887697b6a5b79f8e8a0f66

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Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate

Autor: I. S. Postevoy, N. O. Malykh

Publikováno v: Theory of Probability and Mathematical Statistics. 99:189-198

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::34b7db88d17817c8de4f544a71151d93
https://doi.org/10.1090/tpms/1089

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Akademický článek

Ledger provision in hog marketing contracts

Autor: Hennessy, David A., Lien, Donald

Publikováno v: Agricultural Finance Review, 2006, Vol. 66, Issue 1, pp. 77-89.

Externí odkaz: http://www.emeraldinsight.com/doi/10.1108/00214660680001181

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Akademický článek

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Valuing Forward Rate Agreement (FRA)

Autor: David Lee

A forward rate agreement, or FRA, is a forward contract between two parties in which one party will pay a fixed rate while the other party will pay a reference interest rate for a set future period. Similar to a swap, a FRA has two legs: a fixed leg

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::e1cf33bcbdbbfc8eb2466001c5d88b5a

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Forward rate agreement and interest rate swaps

Autor: Kedar Nath Mukherjee

Publikováno v: Demystifying Fixed Income Analytics ISBN: 9781003045168
Demystifying Fixed Income Analytics

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::d7fe37b40369924bd20a21f71cf3392c
https://doi.org/10.4324/9781003045168-10

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Does publication of interest rate paths provide guidance?

Autor: Olav Syrstad, Gisle James Natvik, Dagfinn Rime

Publikováno v: Journal of International Money and Finance
May

Does the central bank practice of publishing interest rate projections (IRPs) improve how market participants map new information into future interest rates? Using high-frequency data on forward rate agreements (FRAs) we compute market forecast error

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9a51638cff529d403754b9e600e8e274
https://hdl.handle.net/11250/2754566

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