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Valuation of Interest Rate Swaps and Swaptions

Valuation of Interest Rate Swaps and Swaptions

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  • ISBN:9781883249892
  • Editorial: Frank Fabozzi Associates
  • Fecha de la edición:
  • Encuadernación:
  • Nº Pág.:248
  • Idiomas:Ingles

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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.

About the Authors
1 Introduction 1
2 Calculating Swap Payments 17
3 Computing the Present Value of Swap Payments and Determining the Swap Fixed Rate 33
4 Traditional Approach to the Valuation of a Plain Vanilla Swap 49
5 Lattice Approach to Valuation 65
6 Swap Valuation Using the Lattice Approach 77
7 Valuation of Forward Start Swaps 95
8 Valuing a Swaption 111
9 Factors that Affect the Value of a Swaption 129
10 Valuing Non-LIBOR Based Swaps and Basis Swaps 145
11 Controlling Interest Rate Risk with Swaps 165
App. A Theoretical Spot and Forward Rates 195
App. B Binomial Interest Rate Model 215
App. C Valuation of Swaps Using the Trinomial Approach 219
Index

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