9

PRICING AND VALUING SWAPS

9.1 Principles of swap valuation and pricing

9.2 Discount factors and the discount function

9.3 Calculating discount factors from swap and forward rates

9.4 Generating the discount function

9.5 Relationship between zero, swap and forward rates

9.6 Valuation and pricing of interest rate swaps

9.7 Valuation and pricing of currency swaps

9.8 Cancelling a swap

9.9 Hedging swaps with futures

9.10 The convexity correction

9.11 Credit risk of swaps

9.12 Collateralised vs. non-collateralised swaps

9.13 LIBOR–OIS discounting

The previous chapter introduced a wide range of swaps, from vanilla interest rate swaps to quite unusual non-standard and exotic swaps. This chapter looks at how swaps can be valued and priced. Although ...

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