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BOND MATH: The Theory Behind the Formulas by Donald J. Smith

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Chapter 8: Interest Rate Swaps

Much of this chapter is rooted in a 1995 monograph that Keith C. Brown and I wrote for the Research Foundation of the Institute of Chartered Financial Analysts, titled Interest Rate and Currency Swaps: A Tutorial. In 2001, I coauthored (with Gary L. Gastineau and Rebecca Todd) another monograph, Risk Management, Derivatives, and Financial Analysis under SFAS No. 133, for the Research Foundation. Both are available at the CFA Institute's web site.

The example of the Ho-Lee adjustment factor for the difference between interest rate futures and forwards is from John C. Hull, Options, Futures, and Other Derivatives, 6th ed. (Pearson Prentice-Hall, 2006).

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