June 2013
Intermediate to advanced
768 pages
21h 54m
English
Content preview from Financial Times Handbook of Financial Engineering, The, 3rd Edition
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18
MANAGING INTEREST RATE RISK USING FRAS, FUTURES AND SWAPS
18.2 Using short-term interest rate futures
18.3 Calculating the hedge ratio
18.5 Different kinds of basis risk
18.6 Managing the convergence basis
18.11 Hedging bond and swap portfolios
18.12 Hedging bond portfolios with bond futures
The term interest rate risk implies an exposure to movements in interest rates, but this is a very general concept. As we saw in Chapter 9, there are swap rates, zero-coupon rates, forward rates and par yields, all of which are interest rates. Even after focusing upon just one type of rate, there is a range of ...
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