February 2009
Beginner
456 pages
12h 17m
English
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Chapter 16
Interest-rate swaps
Chapter Summary
This chapter defines interest rate swap contracts and introduces basic swap terminologies. Pricing formulas are developed for generic and forward swaps. We develop a simple arbitrage-free model for determining swap spreads and relate them to underlying economic factors. Empirical evidence is presented on swap spreads. Use of Eurodollar futures in pricing swaps and the concept of convexity adjustment are discussed. The relationship between the credit reputation of counterparties swap offer rate, swap bid rate, and the bid-offer spreads in swap markets are explained. Risk management issues pertaining to swaps are presented.
16.1 Swaps and Swap-Related Products and Terminology
Transactions in which two parties ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.