Interest rate swaps under CIR

  • Authors:

  • R. Mallier;G. Alobaidi

  • Affiliations:

  • Department of Applied Mathematics, University of Western Ontario, London, ON, Canada;Department of Mathematics, Trent University, Peterborough, ON, Canada

  • Venue:
  • Journal of Computational and Applied Mathematics - Special Issue: Proceedings of the 10th international congress on computational and applied mathematics (ICCAM-2002)
  • Year:
  • 2004

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Abstract

We consider fixed-for-floating interest rate swaps under the assumption that interest rates are given by the mean-reverting Cox-Ingersoll-Ross model. By using a Green's function approach, we derive analytical expressions for the values of both a vanilla swap and an in-arrears swap.