Abstract
Ingmar Evers and Farshid Jamshidian describe a relatively new product known as a flexi-swap and discuss its application in securitisation. A flexi-swap gives a counterparty an option to amortise the interest rate swap at an accelerated pace. They show that it can be replicated semi-statically by a vanilla amortising swap plus a portfolio of Bermudan swaptions. The derivation employs a novel ‘high-low interest rate path’ argument, which results in a simple algebraic formula for the weights
| Original language | English |
|---|---|
| Pages (from-to) | 67-70 |
| Number of pages | 4 |
| Journal | Journal of risk and uncertainty |
| Publication status | Published - 2005 |
Keywords
- IR-82135
- METIS-223886
Fingerprint
Dive into the research topics of 'Replication of flexi-swaps'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver