The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
30 Pages Posted: 3 Jul 2015 Last revised: 25 Sep 2015
Date Written: September 24, 2015
We introduce here for the first time the long-term swap rate, char- acterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term yield, and the long-term simple rate, considered as long-term discounting rate. We finally investigate the existence of these long-term rates in two term structure methodologies, the Flesaker-Hughston model and the linear-rational model.
Keywords: Term Structure, Overnight Indexed Swap, Long-Term Yield, Long-Term Simple Rate, Long-Term Swap Rate
JEL Classification: E43, G12, G22
Suggested Citation: Suggested Citation