5
votes
Why do floating legs have zero delta risk?
Short Story:
The OP forgot to include the final notional exchange: this component is crucial for the floating leg to be insensitive to rate changes.
Long story:
Let's do an example: a floating-rate ...
- 6,490
3
votes
IRS and Govvie curves
Some years ago I actually looked at how capital markets developed and new instruments appeared in various frontier and emerging markets that became independent and/or moved to "free-er market&...
- 13.2k
2
votes
IRS and Govvie curves
Look at Norway.
Their sovereign wealth fund (https://www.nbim.no/en/) is worth around 2 trillion dollars. They used to have a live, ticking net value expressed in USD which personally I thought was ...
- 12.1k
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