Structured Notes
Published in WORLD SCIENTIFIC eBooks • Jul 25, 2017
NobleIDNI8P44W24R23S40
Authors:
Donald J Smith
Abstract
The binomial forward rate tree model is quite general and can be used to value a wide range of debt securities and interest rate derivatives. This chapter extends the analysis to structured notes, in particular, to an inverse floating-rate note and a bear floater. These securities were introduced in...
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