Interest rate swaps and other derivatives / Howard Corb.

Format:

Book

Author/Creator:

Corb, Howard.

Language:

English

Subjects (All):

Interest rate futures.

Swaps (Finance).

Interest rate swaps.

Derivative securities.

Physical Description:

1 online resource (623 p.)

Place of Publication:

New York : Columbia Business School, c2012.

Language Note:

English

Summary:

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

Contents:

Contents; Preface; Acknowledgments; List of Abbreviations; 1 An Introduction to Swaps; 1.1 Overview; 1.2 Swaps; 1.2.1 Fixed-Floating Swaps; 1.2.2 Basis Swaps; 1.2.3 Cross-Currency Swaps; 2 The Risk Characteristics and the Traditional Uses of Swaps; 2.1 Interest Rate Risk; 2.1.1 PV01; 2.2 Spread Risk; 2.2.1 A Closer Look at Swap Spreads; 2.3 Currency Risk; 2.4 Counterparty Risk; 2.5 Traditional Uses of Swaps; 2.5.1 New Issue Hedging; 2.5.2 Asset Swaps; 2.5.3 Balance Sheet Management; 3 The Pricing of Swaps; 3.1 Where Do Swap Rates Come From?

3.1.1 The Link Between Swap Rates and Eurodollar Futures3.1.2 The Futures Convexity Bias; 3.2 Moving On: Bootstrapping the Curve and Creating a Swap Model; 3.2.1 A Stylized Example; 3.2.2 PV01s in Our Stylized Example; 3.3 Moving On: Pricing Up Nonstandard Swaps; 3.3.1 Mark-to-Markets; 3.3.2 Unwinds; 3.3.3 Assignments; 3.3.4 Forward Starting Swaps; 4 Caps and Floors; 4.1 An Introduction to Caps and Floors; 4.1.1 Cap-Floor Parity; 4.1.2 Uses of Caps and Floors; 4.1.3 An Embedded Cap Trade; 4.1.4 Valuing Caps and Floors; 4.1.5 Vol; 4.1.6 Valuing Caps and Floors in Our Stylized Model

4.1.7 Variations of Standard Caps and Floors5 Swaptions; 5.1 An Introduction to Swaptions; 5.1.1 The Value of Swaptions at Expiration; 5.1.2 Swaption Parity; 5.1.3 Uses of Swaptions; 5.1.4 Valuing Swaptions Using Black's Formula; 5.1.5 Swaption Vol; 5.1.6 Pricing Swaptions in Our Stylized Example; 5.2 The Link Between Caps/Floors and Swaptions; 5.3 Questioning Black's Model for Interest Rate Options; 5.3.1 Are Interest Rates Lognormal?; 5.3.2 Swaption Prices and Implied Vol; 5.3.3 Skew; 5.4 The Normal Model; 5.4.1 Background; 5.4.2 The Model; 5.4.3 Pricing Under the Normal Model

5.4.4 Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions5.4.5 Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions; 5.4.6 The Normal Model: The Industry Standard; 5.5 Other Models Used to Price Interest Rate Options; 5.6 Bermudan Swaptions; 5.6.1 Optimal Exercise of Bermudan Swaptions; 5.6.2 Valuation of Bermudan Swaptions; 6 Swaps with Embedded Options; 6.1 An Underlying Concept; 6.2 Cancelable Swaps; 6.2.1 Some Uses of Cancelable Swaps; 6.2.2 Solving for the Fixed Rate in Cancelable Swaps

6.2.3 Bermudan Cancelables6.3 Index Amortizing Swaps; 6.3.1 An Explanation of the Trade; 6.3.2 Pricing Index Amortizing Swaps; 6.3.3 Relationship Between Index Amortizing Swaps and Cancelable Swaps; 6.4 Knockout Swaps; 6.5 Swaps with Convexity Adjustments; 6.5.1 LIBOR in Arrears Swaps; 6.5.2 CMS Swaps; 7 Structured Notes; 7.1 The Rise of the Structured Note Market; 7.2 A Glossary of Structured Notes; 7.3 Size of the Market; 7.4 What Are Structured Notes?; 7.5 In the Beginning . . . Floating Rate Notes; 7.5.1 A Prime Floating Rate Note; 7.6 Capped Floaters

7.6.1 An Example: Pricing Up a Capped Floater

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [585]-588) and index.

ISBN:

9780231530361

0231530366

OCLC:

812925867