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Notes
- 1.
LIBOR is quoted in all the major currencies.
- 2.
bp stands for basis points. 100 basis points equal 1%. Interest rate less than 1% is quoted in basis points rather than in decimal form.
- 3.
The fixed rate and floating rate cannot be added or subtracted directly because of different day count conventions. Fixed rate market assumes a 365-day year whereas floating rate market assumes 360-day year.
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Vishwanath, S., Kalev, P. (2009). Interest Rate Derivatives. In: Krishnamurti, C., Vishwanath, R. (eds) Investment Management. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-88802-4_19
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