Transcription of Interest Rate Parity - Bukkapatanam
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Interest Rate Parity - Bukkapatanam
Interest Rate Parity ,Money Market Basis Swaps, andCross-Currency Basis SwapsBecause the classic Interest rate Parity condition requires default-free rates as input, the common practice ofusing rates derived from swap curves is not valid. This paper derives Interest rate Parity conditions that depend onbasis swap spreads in addition to swap Tuckman, Pedro PorfirioFixed IncomeLiquid Markets ResearchJune 2003 CONTACTS Editors Hua He Vasant Naik .. Bruce Quantitative Strategies (Europe) Vasant Naik .. Matt David Mendez-Vives Interest Rate Modelling ( ) Bruce Fei Zhou .. Quantitative Research (Asia) Hua He Charles W. Liu .. Manabu Matsumoto FX Research Jim Alexei Anne Shruti Additional Contacts Amitabh Ganlin Marco Lehman Brothers | LMR Quarterly LMR Quarterly, vol.
Interest Rate Parity, Money Market Basis Swaps, and Cross-Currency Basis Swaps Because the classic interest rate parity condition requires default-free rates as input, the common practice of
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