EONIA Jumps and Proper Euribor Forwarding

EONIA Jumps and Proper Euribor Forwarding

EONIA Jumps and Proper Euribor Forwarding: the Case of Synthetic Deposits in Legacy Discount-Based Systems.

Presented at the 2014 QuantLib User Meeting in Düsseldorf

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Ferdinando M. Ametrano

December 05, 2014
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