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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 219
F
3
2
1
11 5
2
1 11 83= +
=
. %
. %
e value of the swap is given by:
V FP FP r t FP F NP r t
i i i i i
= × × + × × × ×( *) exp( ) ( . ) exp( )Σ 0 5
= × × + × × × ×( . ) exp ( . . ) ( . . ) exp( . )5 5 2 0 104 0 5 5 0 5 0 1067 10 0 0 10 1
+ × × × × + × × ×
( . . ) exp( . . ) ( . . ) exp5 0 5 0 1109 10 0 0 102 1 5 5 0 5 0 1183 100 (( . )
×
0 105 2
= INR 1.86977 million
Note that the value of a swap is zero at the time the swap is entered into. Some of these forward contracts
will have a positive value while others will have a negative value and the sum of all these would be zero at
the start of the ...
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Publisher Resources

ISBN: 9781299447547Publisher Website