Valuation of interest rate swaps & swaptions
Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate
242 s
9781883249892, 1883249899
473989196
About the Authors. Introduction. Calculating Swap Payments. Computing the Present Value of Swap Payments and Determining theSwap Fixed Rate. Traditional Approach to the Valuation of a Plain VanillaSwap. Lattice Approach to Valuation. Swap Valuation Using the Lattice Approach. Valuation of Forward Start Swaps. Valuing a Swaption. Factos that Affect the Value of a Swaption. Valuing Non-LIBOR Based Swaps and Basis Swaps. Controlling Interest Rate Risk with Swaps. Appendix A: Theoretical Spot and Forward Rates. Appendix B: Binomial Interest Rate Model. Appendix C: Valuation of Swaps Using the Trinomial Approach. Index.