{"title":"Analytical Deltas for Interest Rate Swaps","authors":"Adriano Queiroz de Mesquita","doi":"10.2139/ssrn.3854835","DOIUrl":null,"url":null,"abstract":"As markets become more electronic and inevitably faster, we see the increasing importance of efficient methods for pricing and risk. This paper introduces analytical deltas for general interest rate swaps.","PeriodicalId":119398,"journal":{"name":"Political Economy - Development: Fiscal & Monetary Policy eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Political Economy - Development: Fiscal & Monetary Policy eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3854835","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
As markets become more electronic and inevitably faster, we see the increasing importance of efficient methods for pricing and risk. This paper introduces analytical deltas for general interest rate swaps.
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