RT Journal Article
SR Electronic
T1 Pricing and Duration of Floaters and Interest Rate Swaps with Embedded Options
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 58
OP 70
DO 10.3905/jai.1999.318935
VO 1
IS 4
A1 Sanjay K. Nawalkha
A1 Jun Zhang
A1 Donald R. Chambers
YR 1999
UL https://pm-research.com/content/1/4/58.abstract
AB During the recent market turmoil, one of the financial instruments most often discussed was that of interest rate swaps, especially those with embedded options. In this article, one approach to understanding these products is suggested and examples given the interest rate sensitivity of a wide range of various interest rate products.