caa a22 4500 465802540 CHVBK 20180323112056.0 cr unu---uuuuu 170327e19900301xx s 000 0 eng 10.1007/BF00365553 doi (NATIONALLICENCE)springer-10.1007/BF00365553 McNulty James Department of Finance, College of Business, Florida Atlantic University, 33431, Boca Raton, Florida, U.S.A. aut The pricing of interest rate swaps [Elektronische Daten] [James McNulty] Interest rate swaps have become an important tool for financial institutions because they provide a convenient way to reduce interest rate risk. Swaps allow financial institutions to obtain short-term deposits in the local deposit market and then transform these into longer-term liabilities. The growth of swaps has been explosive, with the swap market growing from nothing in 1981 to an estimated $889 billion in 1987. In addition to their role in managing interest rate risk, swaps have become important to financial managers for other reasons, and as a result the swap market is monitored by financial managers as are money and capital markets. Because of its growing importance, an empirical perspective on how swaps are priced is needed. This article develops a simple market model and then estimates the model using data provided by three major swap market participants. Kluwer Academic Publishers, 1990 Journal of Financial Services Research Kluwer Academic Publishers 4/1(1990-03-01), 53-63 0920-8550 4:1<53 1990 4 10693 https://doi.org/10.1007/BF00365553 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF00365553 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- McNulty James Department of Finance, College of Business, Florida Atlantic University, 33431, Boca Raton, Florida, U.S.A aut NATIONALLICENCE 773 0- Journal of Financial Services Research Kluwer Academic Publishers 4/1(1990-03-01), 53-63 0920-8550 4:1<53 1990 4 10693 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer