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- W90993856 abstract "This thesis examines the fluctuation of the three and five year $A interest rate swap prices over their respective underlying bonds. The hypotheses that this spread is driven by (a) the volatility of forward rates or the volatility of the underlying bond itself and/or (b) changes in forward rates were examined. No significant relationship was found for the volatility hypothesis however, a significant inverse relationship was found to exist between the forward rate and swap spread for both the 3 and 5 year swaps. This relationship suggests that the swap spread decreases as forward interest rates increase, which is contrary to popular belief." @default.
- W90993856 created "2016-06-24" @default.
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- W90993856 date "1991-01-01" @default.
- W90993856 modified "2023-09-27" @default.
- W90993856 title "Swap spread analysis" @default.
- W90993856 hasPublicationYear "1991" @default.
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