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  1. Swap Curve Steepener

    Authors: Varma, Jayanth R.; Virmani, Vineet;

    Reference No: F&A0539 Pages: 11 Published on: 27, December, 2017

    Abstract: The case is about a decision problem facing James on whether or not to invest in a structured product called the “CMS Steepener” issued by a large US investment bank. The payoff from the product is linked to two constant maturity swap (CMS) rates, and the investor profits if the ... More

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