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- W2280511946 abstract "We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term yield, see Biagini et al. [2018], Biagini and Hartel [2014], and El Karoui et al. [1997], and the long-term simple rate, considered in Brody and Hughston [2016] as long-term discounting rate. We finally investigate the existence of these long-term rates in two term structure methodologies, the Flesaker-Hughston model and the linear-rational model. A numerical example illustrates how our results can be used to estimate the non-optional component of a CoCo bond." @default.
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- W2280511946 date "2015-07-01" @default.
- W2280511946 modified "2023-09-27" @default.
- W2280511946 title "The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates" @default.
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