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.
File(s): File format is application/pdf http://www.newyorkfed.org/research/quarterly_review/1993v18/v18n4article5.pdf
Provider: Federal Reserve Bank of New York
Part of Series: Quarterly Review
Publication Date: 1993