Interest rate swaps
作者： Tong-sheng Sun , Suresh Sundaresan , Ching Wang
DOI: 10.1016/0304-405X(93)90041-9
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摘要: Abstract Using quotations from two interest rate swap dealers with different credit ratings (AAA and A), we examine the effect of dealers' reputations on bid-offer spreads. The AAA offer rates are significantly higher than A rates, bid lower rates. We also document relation between par bond yields estimated London interbank offered (LIBOR) (LIBID) data. identify some problems in testing implications pricing theory.
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