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ZENODO
Other literature type . 2022
License: CC BY
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ZENODO
Presentation . 2025
License: CC BY
Data sources: Datacite
ZENODO
Presentation . 2025
License: CC BY
Data sources: Datacite
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Capped FRN Swap Model

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 17 May 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.6558276 , 10.5281/zenodo.16902742 , 10.5281/zenodo.6558277

Capped FRN Swap Model

Abstract

A model is presented for pricing European/Bermudan type callable capped floating rate note (FRN) swaps. The capped FRN swap is a contract to swap cash-flows between a vanilla floating rate leg and a capped floating rate leg. The option gives the right to call the swap back in favor of the option owner.

https://zenodo.org/record/6539656/files/zenodo-pp-note.pdf

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Capped FRN Swap Model

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selected citations
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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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