Interest Rate Swaps and Other Derivatives
Interest rate swaps allow counterparties to exchange fixed rate streams of payment for floating ones. The first swap was executed over thirty years ago, and since then, the interest rate swaps market and other related derivative markets have grown and diversified in phenomenal directions. Today interest rate swaps and other derivatives are used by myriad institutional investors for the purposes of risk management, expressing a view on the market, and exploiting market opportunities that are otherwise unavailable using more traditional financial instruments.
In this volume, Howard M. Corb further explains the concepts behind interest rate swaps and the derivatives spawned from their success. While his book is filled with sophisticated formulas and analysis, it is geared toward the average reader in search of an in depth understanding of these markets. Corb helps readers develop an intuition about these products and their use in the market, and he follows their manipulation into more complicated trades and structures. Through examples from financial and reverse engineering, he demonstrates how such products are created and how they can be deconstructed and analyzed effectively.
What people are saying - Write a review
We haven't found any reviews in the usual places.
2 The Risk Characteristics and the Traditional Uses of Swaps
3 The Pricing of Swaps
4 Caps and Floors
6 Swaps with Embedded Options
7 Structured Notes
1-year LIBOR 3-month LIBOR 4-year swap rate 5-year swap annual bond arbitrage arrears swap asset swap spread assume basis swap Bermudan binary binary options call option cancelable swap caplets cash flows client consider counterparty curve options delta hedging dirty price Equation Eurodollar European expiry fixed coupon fixed rate bond fixed side floater floating rate floating side forward rates forward starting swap implied volatility interest rate investor issuer LIBOR rates LIBOR setting lognormal implied vol mark-to-market mid-market mortgage normal implied vol normal model notional offer side payer swaption paying fixed payment payoff portfolio position present value put option receiver swaption receiving fixed repo sell semi bond shown in Figure skew spot starting swap steepener strike structured note stylized example Suppose swap curve swap dealer swaps market swaption straddle swaption struck swaption vol Table transaction Treasury yields underlying asset underlying swap upfront versus zero coupon rate