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Pontus Eriksson of SunGard explains how to price an interest rate swap.
The financial crisis has had a profound and pervasive effect on the pricing of interest rate derivatives. The accurate pricing of an interest rate swap is the foundation for running an interest rate business, making markets and managing risk.
However, it’s become much more difficult to correctly price and manage risk around this most vanilla of all derivatives instruments. Why is that the case?
This article seeks to outline the evolution of swap pricing and understand the market problems that remain.
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