Published January 11, 2023
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Equity for Float Swap Valuation
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An equity-for-float swap is an agreement between two counterparties to exchange the dividends and capital gains realized on an equity portfolio for a floating rate of interest. When the reset dates for the equity leg and for the floating leg are different, a new dividend payment option is now available, where the user can specify that dividends be paid according to the floating payment dates.
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equityForFloatSwap.pdf
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