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Index amortizing rate swaps

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  • Lisa N. Galaif
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    Abstract

    As short-term interest rates have declined over the past several years, investors have increasingly sought higher yielding investment vehicles. The index amortizing rate (IAR) swap is one of several new instruments that have been developed in response to this investor demand for yield enhancement. This article explains the structure and pricing of IAR swaps, some of the risks associated with the product, and the uses and growth prospects of the market.

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    File URL: http://www.newyorkfed.org/research/quarterly_review/1993v18/v18n4article4.pdf
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    Bibliographic Info

    Article provided by Federal Reserve Bank of New York in its journal Quarterly Review.

    Volume (Year): (1993)
    Issue (Month): Win ()
    Pages: 63-70

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    Handle: RePEc:fip:fednqr:y:1993:i:win:p:63-70:n:v.18no.4

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    Keywords: Interest rates ; Swaps (Finance) ; Options (Finance);

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    Cited by:
    1. John Kambhu, 1997. "Interest rate options dealers' hedging in the US dollar fixed income market," Research Paper 9719, Federal Reserve Bank of New York.
    2. Hou, Ai Jun & Suardi, Sandy, 2011. "Modelling and forecasting short-term interest rate volatility: A semiparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 692-710, September.
    3. John E. Kambhu, 1998. "Dealers' hedging of interest rate options in the U.S. dollar fixed-income market," Economic Policy Review, Federal Reserve Bank of New York, issue Jun, pages 35-58.

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