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swap variable contre variable

floating-floating swap

libre circulation des capitaux - iate.europa.eu

floating-for-floating swap

libre circulation des capitaux - iate.europa.eu

basis rate swap

libre circulation des capitaux - iate.europa.eu

base swap

libre circulation des capitaux - iate.europa.eu

basis swap

libre circulation des capitaux - iate.europa.eu

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The spillover of money market turbulence to fx swap and cross-currency swap marketsWe analyse the spillover of the turmoil in money markets in the second half of 2007 to FX swap and long-term cross-currency basis swap markets....

général - core.ac.uk - PDF: www.bis.org

Actual factors to determine cross-currency basis swaps: an empirical study on us dollar/japanese yen basis swap rates from the late 1990sCross-currency basis swap rates that exchange US-dollar (USD) and Japanese-yen (JPY) LIBORs have fluctuated since the late 1990s....

PDF: mpra.ub.uni-muenchen.de

Eurozone real output and covered interest parity deviations: can stronger real output lessen the deviations?Evidence shows that covered interest parity deviations have expanded over time in the EUR/USD cross currency basis swap market – the world’s largest basis swap market – even across the less erratic long-end of the basis swap curve....

PDF: mpra.ub.uni-muenchen.de

Heterogeneous yield curves and basis swapsWe present a framework of heterogeneous yield curves of agents based on the pricing kernel approach in order to model LIBOR and basis swap rates....

PDF: www2.econ.osaka-u.ac.jp

Euribor basis swap spreadAbstract The aim of the study is to investigate the factors affecting Euribor basis swap spreads....

PDF: urn.fi