SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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yoyogi
Topic Author
Posts: 271
Joined: December 17th, 2003, 12:46 am

Pricing IRS

April 21st, 2004, 3:13 am

How do we price the plain interest rate swap actually? Is it related to US treasury?Sorry for dumminess.
 
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Swapnild
Posts: 22
Joined: July 14th, 2002, 3:00 am

Pricing IRS

April 25th, 2004, 11:18 am

see reuters or bloomberg for quick reference.
 
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DrEvil
Posts: 36
Joined: April 22nd, 2004, 10:17 pm

Pricing IRS

April 25th, 2004, 6:29 pm

Price the paying leg and receiving leg as positions in two bonds.
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