Arrear Forward Rate Agreement Model
| Autor: | Lee, David |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: | |
| DOI: | 10.5281/zenodo.6578407 |
| Popis: | 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 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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