The Price of Fixed Income Market Volatility by Antonio Mele & Yoshiki Obayashi
Author:Antonio Mele & Yoshiki Obayashi
Language: eng
Format: epub
Publisher: Springer International Publishing, Cham
Maturity of the variance contract
Tenor = 1 year
1 month
6 months
Short Term Rate
Forward Swap Rate
Forward Swap Rate
1.00
2.18
272.43
272.43
2.90
252.92
252.97
3.00
3.80
273.79
273.79
4.28
253.99
254.05
5.00
5.44
275.15
275.16
5.68
255.07
255.13
7.00
7.08
276.52
276.54
7.08
256.15
256.22
9.00
8.73
277.90
277.92
8.49
257.23
257.32
10.00
9.56
278.59
278.62
9.19
257.78
257.87
Tenor = 2 years
1 month
6 months
Short Term Rate
Forward Swap Rate
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