Show that a swap in which one receives fixed and pays floating is equivalent to a portfolio

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Show that a swap in which one receives fixed and pays floating is equivalent to a portfolio of caps and floors. Present the specific relationship.

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 11, 2024 09:03 AM

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Show that a swap in which one receives fixed and pays floating is equivalent to a portfolio

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We will consider two portfolios Portfolio A the swap receives floating rate and pays fixed rate K P...View the full answer

Derivatives Principles And Practice

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