Published May 15, 2022
| Version v1
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BMA Knockout Swap Model
Creators
Description
The BMA Ratio Swap with BMA Knockout is a two-legged BMA ratio swap where one leg pays a contract specified fixed rate and the other leg pays Libor times a contract specified ratio (plus a contract specified constant spread).
Notes
https://osf.io/preprints/inarxiv/9765p/download
Files
MbaKnockoutSwap.pdf
Files
(63.4 kB)
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