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
17.2 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
17.7 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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