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Valuation of "Plain-Vanilla" Interest-Ra...

Conroy, Robert M.,...

Technical Note

Valuation of "Plain-Vanilla" Interest-Rate Swaps

Conroy, Robert M.; Eades, Kenneth M.

F-1121 | Published July 27, 1997 | 16 pages Technical Note

Collection: Darden School of Business

Product Details

This note takes students step by step through the valuation of an interest rate swap. It assumes students have a strong grounding in the concepts of forward rates and spot rates.

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