Journal of Finance Vol. 41 No. 3 1986
An Economic Analysis of Interest Rate Swaps
Abstract
Interest rate swaps, a financial innovation in recent years, are based upon the principle of comparative advantage. An interest rate swap is a useful tool for active liability management and for hedging against interest rate risk. The purpose of this paper is to provide a simple economic analysis of interest rate swaps. Alternative uses of and the appropriate valuation procedure for interest rate swaps are described.
- DOI
- 10.1111/j.1540-6261.1986.tb04527.x
- Volume
- 41
- Issue
- 3
- Pages
- 645-655
- Language
- en
- Sources
- crossref openalex