CHAPTERSIXTY-TWOINTEREST-RATE SWAPS AND SWAPTIONS
FRANK J. FABOZZI, PH.D., CFA, CPA
Professor of FinanceEDHEC Business School
STEVEN V. MANN, PH.D.
Professor of FinanceMoore School of BusinessUniversity of South Carolina
MOORAD CHOUDHRY, PH.D.
MD, Head of Business Treasury, Global Banking & MarketsRoyal Bank of Scotland
Swaps and swaptions are also used extensively by market participants to control interest-rate risk. The most prevalent swap contract is an interest-rate swap. An interest-rate swap contract provides a vehicle for market participants to transform the nature of cash-flows and the interest-rate exposure of a portfolio or balance sheet. In this chapter we explain how to analyze interest-rate swaps. We will describe a generic interest-rate ...