Published May 13, 2022
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Canada Housing Trust Swap Analytics
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The Canada Housing Trust Swap includes variable rate mortgages and involves reinvestments made by the principal payments. The variable rate mortgages that appear in the deal are a result of these reinvestment. The model was in the context of the much more complicated problem where the notional on the mortgages was not fixed, and reinvestments were made at prevailing market prices.
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zenodo-ChtSwap.pdf
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