Interest Rate Swap

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.

Measuring and Controlling Interest Rate and Credit Risk, Second Edition offers a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position under various financial conditions. Financial experts Frank Fabozzi, Steven Mann, and Moorad Choudhry clearly define and illustrate interest rate risk and credit risk using practical examples with market data. These experts also discuss various hedging instruments, including futures contracts, interest rate swaps, exchange-traded options, OTC options, and credit derivatives. This completely revised Second Edition is filled with calculated examples and tables that will aid you in understanding numerous important issues such as: Measuring yield curve riskControlling interest rate risk with derivativesForecasting yield volatilityImplementing Value at Risk (VaR) approaches to measure interest rate riskPerforming credit derivative valuationManaging credit risk using credit derivatives and structured products Filled with in-depth analysis and insights from recognized experts in the field, Measuring and Controlling Interest Rate and Credit Risk, Second Edition is a must-read for portfolio managers and traders who need to continually sharpen their financial skills.

Interest rate swap - In the field of derivatives, a popular form of swap is the interest rate swap, in which one party exchanges a stream of interest for another stream. Interest rate swaps are normally fixed against floating, but can also be fixed against fixed or floating against floating rate swaps.

Interest Rate Swap - A swap is an agreement between two counterparties to exchange something (one "leg" of the swap) for something else (the other "leg"). These "things" can be anything that has a financial value, but in the financial world one leg is typically a stock or other investment property.

Basis swap - A basis swap is an interest rate swap which involving exchange of two floating rate financial instruments denominated in the same currency. A floating-floating interest rate swap under which the floating rate payments are referenced to different bases.

Forward starting swap - A forward-starting swap is a forward security which lock in the rate today for an interest rate swap asset or liability to be created or sold in the future. Company that plans to issue fixed rate at a future date can use a forward-starting swap to hedge the future issuance rate.

interestrateswap

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