Journal Article
The pricing and hedging of index amortizing rate swaps
Abstract: Index amortizing rate (IAR) swaps have proved difficult to price because of the complexity of their embedded options. Since these options depend on the path of interest rates, pricing requires a model of interest rate movements. This article uses a simple interest rate model to illustrate the pricing and hedging of an IAR swap.
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Quarterly Review
Publication Date: 1993
Volume: 18
Issue: Win
Pages: 71-74