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Showing 1 to 1 of 1 for “"1Y NC 3M"”.
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Empirical Evidence of Pricing Efficiency in Niche Markets
… proprietary data of the illiquid, one-year non cancelable for three month Bermudan swaps (1Y NC 3M swaps) and one-year non callable for three months Bermudan CDs (1Y NC 3M CDs), provides evidence of market efficiency. The 1Y NC 3M swap and 1Y NC 3M CD markets efficiently reflected unexpected …