Today is November 3, 2008. Table 22.3 provides the caps and swap rates quotes on this date.
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Maturity Swap Rates Swaption Vols Volatilities 3M 6M 60.6 46.5 IY Caps 60.59/61.59 52.26/53.26 Floors 2.412452 67.8 1 Y 2 Y 3 Y 4 Y 5 Y 7 Y 10 Y 60.59/61.59 52.26/53.26 37.7 42.32/43.3242.3243.32 3.507/547 7 4.5 3.3 35.99/36.99 35.9936.99 3.24 32.24/33.24 4.171/197 1.3 63 34 27.82/28.82 27.82/28.82 2.619/633 .120160 52.8 3.808/822 59.7 52.8 52.8 49.3 46.6 40.3 341 32.24/33
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Fixed Income Securities Valuation Risk and Risk Management
ISBN: 978-0470109106
1st edition
Authors: Pietro Veronesi
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