In the accrual swap discussed in the text, the fixed side accrues only when the floating reference
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In the accrual swap discussed in the text, the fixed side accrues only when the floating reference rate lies below a certain level. Discuss how the analysis can be extended to cope with a situation where the fixed side accrues only when the floating reference rate is above one level and below another.
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Suppose that the fixed rate accrues only when the floating r...View the full answer
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