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Interest Rate Swaps and Their Derivatives: A Practitioner's Guide by AMIR SADR

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Index
accrued
fraction
interest
Act/Act bond
Act/Act ISMA, See Act/Act bond
AD. See Arrow-Debreu
American style options
annuity
formula
antithetic
arbitrage-free
Arrow-Debreu
price
security
Asian options. See path-dependent options
as-of date
asset changes
absolute
percentage
proportional
asset swap
market value
par-par
spread
ATMF. See at-the-money forward
at-the-money forward
backward induction
basis point
basis swap
Libor/Libor
BBA. See British Bankers Association
BDT. See Black-Derman-Toy model
bear-flatten
bear-widener
Bermudan
option
swaption
BGM. See Brace-Gartarek-Musiela
BK. See Black-Karasinski model
Black-Derman-Toy model
Black-Karasinski model
Black′s formula
Normal
Black-Scholes
formula
PDE
bond option
bond pricing formula
bootstrap method
box trade
Brace-Gartarek-Musiela
model
result
spot measure
terminal measure
British Bankers Association
Brownian motion
bullish tightener
bull-steepen
butterfly trade
regression weighted
calculation period
end date
index end date
index reset date
index start date
payment date
start date
calibration
global
local
swaption
call
-fly
-ratio
-spread
call/receiver
callable
bond
rate
step-up/step-down
cancelable swap
Bermudan
European
one-time
cap
CMS
Libor
cap/floor
forward
straddle
caplet
CMS
knock-in
caplet curve
carry
dollar
positive
price
yield
cash and carry
CDF. See cumulative distribution function
central limit theorem
central moment
cents. See upfront bp′s
CEV. See constant elasticity of variance
change of numeraire
formula ...

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