Guy Sheldon

affiliation not provided to SSRN

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Building Curves on a Good Basis

Number of pages: 21 Posted: 25 Apr 2009 Last Revised: 11 Jun 2012
Neoma Business School, Shinsei Bank, Limited and affiliation not provided to SSRN
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Citation 16

Abstract:

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discount curve, forecast curve, vanilla swaps, cross-currency swaps basis swaps