Editing Interest rate swap (section)

==Further reading==
General:
*{{cite book | title = Interest Rate Modeling in Three Volumes | author = Leif B.G. Andersen, Vladimir V. Piterbarg | year = 2010 | edition = 1st ed. 2010 | url = http://www.andersen-piterbarg-book.com | isbn = 978-0-9844221-0-4 | publisher = Atlantic Financial Press | url-status = dead | archive-url = https://web.archive.org/web/20110208161936/http://andersen-piterbarg-book.com/ | archive-date = 2011-02-08 }}
*{{cite book | title = Pricing and Trading Interest Rate Derivatives | author = J H M Darbyshire | year = 2017 | edition = 2nd ed. 2017 | url = http://www.tradinginterestrates.com | isbn = 978-0995455528 | publisher = Aitch and Dee Ltd.}}
* Richard Flavell (2010). [https://www.wiley.com/en-us/Swaps+and+Other+Derivatives%2C+2nd+Edition-p-9780470721919 ''Swaps and other derivatives''] (2nd ed.) Wiley. {{ISBN|047072191X}}
* Miron P. & Swannell P. (1991). ''Pricing and Hedging Swaps'', Euromoney books. {{ISBN|185564052X}}

Early literature on the incoherence of the one curve pricing approach:
* Boenkost W. and Schmidt W. (2004). ''Cross Currency Swap Valuation'', Working Paper 2, HfB - Business School of Finance & Management [http://ssrn.com/abstract=1375540 SSRN preprint.]
* Tuckman B. and Porfirio P. (2003). ''Interest Rate Parity, Money Market Basis Swaps and Cross-Currency Basis Swaps'', Fixed income liquid markets research, [[Lehman Brothers]]

Multi-curves framework:
* Henrard M. (2007). ''The Irony in the Derivatives Discounting'', Wilmott Magazine, pp.&nbsp;92–98, July 2007. [http://ssrn.com/abstract=1349024 SSRN preprint.]
* Kijima M., Tanaka K., and Wong T. (2009). ''A Multi-Quality Model of Interest Rates'', Quantitative Finance, pages 133-145, 2009.
* Henrard M. (2010). ''The Irony in the Derivatives Discounting Part II: The Crisis'', Wilmott Journal, Vol. 2, pp.&nbsp;301–316, 2010. [http://ssrn.com/abstract=1433022 SSRN preprint.]
* Bianchetti M. (2010). ''Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves'', Risk Magazine, August 2010. [http://ssrn.com/abstract=1334356 SSRN preprint.]
* Henrard M. (2014) [https://link.springer.com/book/10.1057/9781137374660 ''Interest Rate Modelling in the Multi-curve Framework: Foundations, Evolution, and Implementation.''] Palgrave Macmillan. Applied Quantitative Finance series. June 2014. {{ISBN|978-1-137-37465-3}}.