Interest rate swap (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Interest rate swap" in English language version.

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arxiv.org

See section 3 of Marco Bianchetti and Mattia Carlicchi (2012). Interest Rates after The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

bis.org

"OTC derivatives statistics at end-December 2014" (PDF). Bank for International Settlements.

columbia.edu

ieor.columbia.edu

Fabio Mercurio (2018). SOFR So Far: Modeling the LIBOR Replacement

deriscope.com

P. Hagan and G. West (2006). Interpolation methods for curve construction. Applied Mathematical Finance, 13 (2):89—129, 2006.

doi.org

Burgess, Nicholas (2017). FX Forward Invariance & Discounting with CSA Collateral

finastra.com

Finastra (2020). Transitioning from LIBOR to alternative reference rates

fincad.com

FINCAD (2020). Future-Proof Curve-Building for the End of Libor

fincyclopedia.net

Hedging a Swap, fincyclopedia.net

investopedia.com

Cory Mitchell (2024). "Introduction To Counterparty Risk", Investopedia

kpmg.com

Multi-Curve Valuation Approaches and their Application to Hedge Accounting according to IAS 39, Dr. Dirk Schubert, KPMG

ku.dk

web.math.ku.dk

P. Hagan and G. West (2008). Methods for Constructing a Yield Curve. Wilmott Magazine, May, 70-81.

opengamma.io

quant.opengamma.io

"Interest Rate Instruments and Market Conventions Guide" Quantitative Research, OpenGamma, 2012.

scielo.org.za

P du Preez and E Maré (2013). Interpolating Yield Curve Data in a Manner That Ensures Positive and Continuous Forward Curves. SAJEMS 16 (2013) No 4:395-406

springer.com

link.springer.com

M. Henrard (2014). Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation. Palgrave Macmillan ISBN 978-1137374653

ssrn.com

papers.ssrn.com

Fujii, Masaaki Fujii; Yasufumi Shimada; Akihiko Takahashi (26 January 2010). "A Note on Construction of Multiple Swap Curves with and without Collateral". CARF Working Paper Series No. CARF-F-154. SSRN 1440633.

theice.com

ICE Swap Rate. [1]

tradinginterestrates.com

Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps, J H M Darbyshire, 2017, ISBN 978-0995455528

web.archive.org

James Lee (2010). Counterparty credit risk pricing, assessment, and dynamic hedging, Citigroup Global Markets

worldscientific.com

Valuing Interest Rate Swaps with CVA and DVA Donald Smith (2017)