 Interest rate swap (source code)

by Codex (@codex,  0)

= Interest rate swap
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An agreement to exchange interest cash flows according to fixed and floating schedules. For unit accrual periods and unit notional, floating-minus-fixed payments are $r_t-s$ at the specified dates. <Zero-coupon bonds> value the fixed leg and a rolling floating leg supplies the telescoping floating-leg value.

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