Published June 2, 2022
| Version v2
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Interest Rate TARN Swap Model
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Description
A target accumulated redemption note (TARN) is a structured coupon bond that will be compulsively terminated one the accumulated coupon breaches a pre-determined barrier. If structured coupons in a TARN are functions of some selected index interest rates, the TARN is called interest rate TARN.
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https://osf.io/9jyh8/download
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irTarn.pdf
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