Valuation of Interest Rate Swaps and Swaptions

Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.

Product details

Hardcover : 199 pages
Title : Valuation of Interest Rate Swaps and Swaptions
Language : English
ISBN-10 : 1883249899
Ranting : 3.6

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How To Value Interest Rate Swaps Investopedia
A plain vanilla swap is the simplest type of swap in the market, often used to hedge floating interest rate exposure. Interest rate swaps are a type of plain vanilla swap. Interest rate swaps...
Interest Rate Swap: Definition, Example, Valuation
An interest rate swap is a contract between two parties to exchange all future interest rate payments forthcoming from a bond or loan. It's between corporations, banks, or investors. Swaps are derivative contracts. The value of the swap is derived from the underlying value of the two streams of interest payments.
Interest Rate Swap Valuation Breaking Down Finance
Interest Rate Swap Valuation. Interest rate swap (IRS) valuation is very simple. Valuing an interest rate swap only requires the discount factors that are based on the LIBOR curve. Using these discount factors, we can calculate the swap fixed rate, which is the price of the interest rate swap. But before we continue, let’s briefly discuss the definition of an interest rate swap.
Interest rate swap valuation, how does it work
To valuation an interest rate swap, several yield curves are used: The zero coupon yield curve, used to calculate the discount rates of future cash flows, paid or received, fixed or floating. Cash flows of each leg have to be discounted. The forward rate curve, used to calculate the size of the floating cash flows paid (or received). If the rate of the floating leg is 6 month Libor, this curve will inform on the level of the 6 month Libor at each fixing date (we calculate therefore the size ...
Valuation of Swap Contracts | Study com
A vanilla swap involves the variable or floating interest rate being converted into a fixed interest rate, or vice versa. This is the most common type of interest rate swap. The Swap Valuation Process
Value and Price of Swaps Derivatives | CFA Level 1 Exam
If the present value of the payments in a swap or forward contract is not zero, then the party who will receive the greater stream of payments has to pay the other party the present value of the difference, i.e., the net value. Interest Rate Swaps. An interest rate swap is an agreement to exchange one stream of interest payments for another, based on a specified principal amount, over a specified period of time. Here is an example of a plain vanilla interest rate swap with Bank A paying the ...
Valuing Interest Rate Swaps and Financial Instruments With
An interest rate swap is an agreement between two parties (also referred to as counterparties) where one stream of future interest payments is exchanged for another based on a specified principal amount (referred to as the “notional amount” or “notional value”).
Interest Rate Swap Learn How Interest Rate Swaps Work
The two companies enter into a two year interest rate swap contract with the specified nominal value of $100,000. pany A offers pany B a fixed rate of 5% in exchange for receiving a floating rate of the LIBOR rate plus 1%. The current LIBOR rate at the beginning of the interest rate swap agreement is 4%.