November 1998
Intermediate to advanced
220 pages
6h 36m
English
Content preview from Fixed Income and Interest Rate Derivative Analysis
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THE EURODOLLAR MARKET AND SIMPLE INTEREST RATE SWAPS 73
4.4
Simple interest rate swaps
An interest rate swap is an agreement between two parties to exchange
streams of cash flows based on a hypothetical (or notional) principal amount
when one stream is calculated with reference to a floating rate and the other
stream is fixed. In this section we examine the generic fixed for floating
interest rate swap. In a fixed for floating swap, the party who has
bought
the swap
pays
a fixed amount (called the swap rate) at each payment date,
and receives a variable payment dependent on the ...
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