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A swap spread is a financial term that refers to the difference between the fixed rate of a swap contract and the yield on a government bond of a similar maturity. It is commonly used in interest rate swaps, where one party exchanges a fixed interest payment for a floating interest payment, typically linked to an index like LIBOR or SOFR (Secured Overnight Financing Rate).

Ancestors (6)

  1. Credit risk
  2. Actuarial science
  3. Applied mathematics
  4. Fields of mathematics
  5. Mathematics
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