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Derivatives and Risk Management by Ranganatham Ranganatham, Madhumathi Madhumathi

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chapter 17

Pricing Swaps

Learning Objectives

After reading this chapter, you will be able to understand

  • the basic principles of pricing swaps
  • the linkage between bond portfolios and swap portfolios
  • pricing plain vanilla swaps
  • pricing other forms of swaps
  • pricing currency, commodity and equity swaps
  • pricing interest-rate swaps
  • pricing swaptions
Chapter Outline

17.1 Introduction

17.2 Pricing and Valuing Interest-Rate Swaps

17.3 Pricing and Valuing Equity Swap

17.4 Pricing and Valuing Currency Swap

17.5 Pricing and Valuing Commodity Swap

17.6 Swaptions

17.7 Pricing and Valuing Credit Default Swaps

THE SITUATION

Jagdish Shetty is a bank manager in charge of risk management function. He often uses interest-rate swap deals to protect revenues ...

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