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A Survey on Modeling and Analysis of Basis Spreads

A Survey on Modeling and Analysis of Basis Spreads
Paper文書・図像類
Fujii, Masaaki, Shimada, Yasufumi, Akihiko, Takahashi日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-697
Other Libraries in Japan
  • Subject HeadingLibor swap tenor swap spread curve overnight index swap cross currency basis spread

A Note on Construction of Multiple Swap Curves with and without Collateral

A Note on Construction of Multiple Swap Curves with and without Collateral
Paper文書・図像類
Fujii, Masaaki, Yasufumi, Shimada, Akihiko, Takahashi日本経済国際共同センター2009-07Discussion paper series. CIRJE-FCIRJE-F-630
Other Libraries in Japan
  • Subject HeadingLibor swap tenor yield curve collateral overnight index swap cross currency basis spread

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