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swap cdor

Posted by Grison PG Pierre (External DEXIA-US) on Jan 23, 2015; 4:40pm
URL: http://quantlib.414.s1.nabble.com/swap-cdor-tp16196.html

Hello,

 

Has someone already worked on the CDOR (CAD) fixed/float swap (vanilla swap)? There is something very specific to this instrument since for the floating leg, reset frequency is 3M but payment frequency is 6M!

 

Thanks for your answers,

 

Pierre


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