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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
214 Derivatives and Risk Management
E X A M P L E 1 0 . 2
Consider the situation in Example 10.1. Assuming that the intermediary charges 8 points from each of the
parties, the total gain of 30 points is shared as 16 points to the intermediary, 7 points to Company B, and
7 points to Company A, and the swap design will be as shown in Fig. 10.3.
Company A
Bill Market
Bond Market
LIBOR + 70 points
LIBOR
+ 5 points
LIBOR
+ 13 points
8.2%
8.2%8.28%
Intermediary
Company B
Figure 10.3 Structure of an Interest Rate Swap through an Intermediary
Company A
Pay LIBOR + 70 points in the bill market
Pay 8.28% to the intermediary
Receive LIBOR + 5 points from the in ...
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Publisher Resources

ISBN: 9781299447547Publisher Website