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Quantitative Finance · Glossary

What is Interest-rate swap, fixed and floating legs?

Also known as: interest-rate swap · fixed leg · floating leg

Definition 9.1 Markets II: Rates, FX and Credit · Chapter 9 — Interest-Rate Swaps

An interest-rate swap is an agreement to exchange, on a notional amount that is never itself exchanged, fixed-rate interest payments, the fixed leg, for floating-rate payments set by a benchmark rate, the floating leg, on a schedule of dates until maturity.

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