Open AccessA Consistent Framework for Modelling Basis Spreads in Tenor Swaps
Author(s) -
Yang Chang,
Erik Schlögl
Publication year - 2014
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2433829
Subject(s) - market liquidity , swap (finance) , arbitrage , econometrics , interest rate swap , economics , basis point , interest rate , funding liquidity , term (time) , currency , yield curve , financial economics , financial crisis , money market , liquidity crisis , monetary economics , macroeconomics , finance , physics , quantum mechanics
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