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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.


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