The differential between the five-year and the 10-year iTraxx Europe Index is about 23 basis points. This is close to record highs. At the end of last September, when the new Series 4 Index was rolled ...
Some academically oriented readers may get a bit upset at this statement, but most financial derivatives pricing in practice comes down to this basic formula. The net present value (NPV) of a ...
The credit crunch that began in the second half of 2007 has triggered, among many consequences, the explosion of the basis spreads quoted on the market between single-currency interest rate ...
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