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
- 10.2307/2328495
- Volume
- 41
- Issue
- 3
- Pages
- 645
- Sources
- openalex crossref