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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
Swaps 217
E X A M P L E 1 0 . 6
A swaption can be used to remove an existing swap. Assume that a corporation has entered into a swap
to lock in its borrowing cost. However, the corporation is concerned that the interest rates may decrease
signicantly in the next six months and would like to take advantage of the benets of lower interest rates.
en, the corporation can enter into a swaption to remove this swap in case the interest rate decreases.
If the interest rate does not decrease as expected, the swaption will be allowed to expire and the original
swap will continue. If the interest rate decreases as expected, the corporation wil ...
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Publisher Resources

ISBN: 9781299447547Publisher Website