Katsumi Kevin Takada

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Valuation of Arithmetic Average of Fed Funds Rates and Construction of the US Dollar Swap Yield Curve

Number of pages: 17 Posted: 08 Jan 2012 Last Revised: 16 Jan 2012
Katsumi Kevin Takada
affiliation not provided to SSRN
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Abstract:

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OIS Discounting, Federal Funds Rate, Overnight Rate, Convexity Adjustment, Yield Curve, Arithmetic Average, FF-LIBOR Basis Swap, Collateralized Swap, Risk Neutral Valuation, Hull White Model, Cap and Floor