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Valuation of Interest Rate Swaps and Swaptions / Edition 1
     

Valuation of Interest Rate Swaps and Swaptions / Edition 1

by Gerald W. Buetow, Frank J. Fabozzi
 

ISBN-10: 1883249899

ISBN-13: 9781883249892

Pub. Date: 06/18/2000

Publisher: Wiley

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 treasurers with a better tool for controlling interest rate risk.

Overview

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 treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.

Product Details

ISBN-13:
9781883249892
Publisher:
Wiley
Publication date:
06/18/2000
Series:
Frank J. Fabozzi Series , #80
Pages:
248
Product dimensions:
4.72(w) x 11.02(h) x 1.18(d)

Related Subjects

Table of Contents

About the Authors.

Introduction.

Calculating Swap Payments.

Computing the Present Value of Swap Payments and Determining the Swap Fixed Rate.

Traditional Approach to the Valuation of a Plain Vanilla Swap.

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.

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