February 2, 2013
Streetwise Professor » Back to Futurization: The Consequences of Swap-O-Phobia
This captures the futurisation debate in one neat package, I wish I’d written it. The fact that the underlying cashflows are the same, and the market for rate risk is the same, poses a big question, why is the holding period different on the IM models?
Streetwise Professor » Back to Futurization: The Consequences of Swap-O-Phobia.