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Daily Digital Swap Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Scholarly Communication
- Subject(s):
- Derivative securities, Derivative securities--Valuation
- Item Type:
- Essay
- Tag(s):
- digital swap, swap valuation
- Permanent URL:
- https://doi.org/10.17613/pt9c-a545
- Abstract:
- A daily digital swap that has two legs. One leg is a regular floating leg and the other leg is a Libor-based, daily digital leg. The daily digital leg is weighted by the ratio of the number of calendar days in the period that the reference rate sets below an upper level to the total number of calendar days in the period.
- Notes:
- https://finpricing.com/lib/EqBarrier.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 7 months ago
- License:
- Attribution
- Share this:
Open access, open source, open to all
dailydigital.pdf