Interest Rate Swap PowerPoint PPT Presentations

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... whereby firms exchange cash flows determined with different interest rates ... Interest Rate Swaps are the most common type of swap. The basic swap ...

A capped swap is an interest rate swap with an interest rate cap option where the floating rate of the swap is capped at a certain level while a floored swap is an interest rate swap with a floor option where the floating rate of the swap is floored at a certain level. Capped swaps or floored swaps limit the risk of the floating rate payer or receiver to adverse movements in interest rates. A capped swap can be decomposed into a swap and a cap whereas a floored swap can be decomposed into a swap and a floor. This presentation gives an overview of capped/floored swap product and valuation. You find more presentations at http://www.finpricing.com/productList.html

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Value and cash flows 'derived' from reference to underlying asset or index ... Issuer downgrade triggers an automatic termination on ...

Title: No Slide Title Author: Sushir Lohia Last modified by: IN00024759 Created Date: 6/28/1999 5:27:19 AM Document presentation format: A4 Paper (210x297 mm)

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... Notional principal: a reference amount used only to calculate interest expense but never repaid. ... to a formula set in advance and adjusted on specific ...

An interest rate swap is an agreement between two parties to exchange future interest rate payments over a set period of time. It consists of a series of payment periods, called swaplets. The most popular form of interest rate swaps is the vanilla swaps that involve the exchange of a fixed interest rate for a floating rate, or vice versa. There are two legs associated with each party: a fixed leg and a floating leg. Swaps are OTC derivatives that bear counterparty credit risk beside interest rate risk. This presentation gives an overview of interest rate swap product and valuation model. You can find more information at http://www.finpricing.com/lib/IrSwap.html

Amazingly Presented By: Greg Mendonca Outline Origins of interest rate swaps Plain Vanilla interest rate swaps Example of a plain vanilla swap Comparative ...

A cancelable swap provides the right but not the obligation to cancel the interest rate swap at predefined dates. Most commonly traded cancelable swaps have multiple exercise dates. Given its Bermudan style optionality, a cancelable swap can be represented as a vanilla swap embedded with a Bermudan swaption. Therefore, it can be decomposed into a swap and a Bermudan swaption. Most Bermudan swaptions in a bank book actually come from cancelable swaps. Cancelable swaps provide market participants flexibility to exit a swap. This additional feature makes the valuation complex. This presentation provides practical details for pricing cancelable swaps. You find more presentations at http://www.finpricing.com/productList.html

Title: Advanced Financial Analysis: Intro and Firm Objectives Author: P.V. Viswanath Last modified by: P.V. Viswanath Created Date: 4/17/1998 5:34:42 PM

exchange US$ interest payments for a specific maturity on an agreed notional amount. ... a. Notional principal: a reference amount used only to calculate interest ...

What is the potential impact on your credit ratings? Will the swap impact your debt capacity? ... insurance companies that lost AAA ratings and are now rated as ...

Intermediaries have started taking more risk. More capital commitment by intermediary ... Seagull: Bull Call Spread Sold Put. Basic Properties of Stock Options ...

the floating and fixed interest rate calculations are for a pre-decided principal ... Assuming a pre tax spread of 2.00% p.a., post tax spread on the trade is 1.23% p. ...

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Interest Rates Futures Fin 288 Futures Options and Swaps

Yield Curves ... yield curves seldom slope downwards! The Preferred Habitat Theory ... Began in the International Money Market of Chicago Mercantile Exchange in 1972. ...

Interest Rate Derivatives Interest Rate Derivatives Swaps Forward Rate Agreements (FRAs): A one-period, future swap EuroDollar Futures Bond Options (Black-76) Caps ...

Interest Rate Derivatives Interest Rate Derivatives Swaps Forward Rate Agreements (FRAs): A one-period, future swap EuroDollar Futures Bond Options (Black-76) Caps ...

Interest Rates Futures

... a minimum or floor rate. When floating BBSW or BBSY sets between the cap and floor strike they pay ... One factor models only have once source of uncertainty ...

Derivatives Interest Rate Derivatives Professor Andr Farber Solvay Business School Universit Libre de Bruxelles

... 1M loan for 180 days that it plans to finance by selling a 90-day CD now at the ... Bank sells $1M of CD now (June) at 8.258%. At the September ...

An interest rate Bermudan swaption gives the holder the right but not the obligation to enter an interest rate swap at predefined dates. It is one of the fundamental ways for an investor to enter a swap. Comparing to regular swaptions, Bermudan swaptions provide market participants more flexibility and control over the exercising of an option and less restriction. Given those flexibilities, a Bermudan swaption is more expensive than a regular European swaption. In terms of valuation, it is also much more complex. This presentation provides practical details for pricing cancelable swaps. You find more presentations at http://www.finpricing.com/productList.html

An interest rate swaption or interest rate European swaption is an OTC option that grants its owner the right but not the obligation to enter an underlying interest rate swap. There are two types of swaptions: a payer swaption and a receiver swaption. An payer swaption is also called a right-to-pay swaption that allows its holder to exercise into a swap where the holder pays fixed rates and receives floating rates, while a receiver swaption is also called right-to-receive swaption that allows its holders to exercise into a swap where the holder receives fixed rates and pays floating rates. Swaptions provide clients with a guarantee that the fixed rate of interest they will pay at some of future time will not exceed certain level. This presentation gives an overview of swaption product and valuation. You can find more details at http://www.finpricing.com/lib/IrSwaption.html

Common and Preferred Stock. Additional paid-in-capital. Retained earnings ... check clearing, check collection, f/x trading, hedging services, participation ...

If r Coupon rate the price of the bond is below the par value - it sells at a discount. ... They are pure discount instruments (there is no coupon payment) ...

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Title: PowerPoint Presentation Author: Corporate User Last modified by: denihlc Created Date: 9/29/2003 8:01:58 PM Document presentation format:

Spot and Forward Rates, Currency Swaps, Futures and Options Spot and Forward Rates: Spot Rate (SR): Most transactions are completed in 2 days, enough time to debit ...

E.g., Why do forward and spot rates differ? Spot 1.3679 $/euro. forward 1.3759 $/euro ... retail interest rates that corporations face (e.g., borrowing rates) ...

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even if the smile is available, points could be sparse ... some dependency on swaption smile in calculating the forwards and the spread option price ...

On the expiration date, trading stops and participants settle their final ... Forty separate contracts are traded at any point in time, as contracts expire in ...

Term Structure Models versus Black's Model. Black's model is concerned ... expression of the same structure as the Black & Scholes model for equity options. ...

{Not covered in lectures and omitting the quantity theory of money. Students should therefore read pages 258-264 ... This is summarised in Begg by the following: ...

Why a typical government borrower can't immunise its risk ... No benchmark is required as you can immunise assets and liabilities ...

... of swaps is lower than the notional of the selected category of assets, the ... to be recorded, as the notional of the selected category is still ...

Instruments hedging short term interest rate risk. Available instruments: ... The margining can create a price bias, if there is a non-zero correlation ...

Treasury Futures (TU, FV, TY, US) and Schatz, Bobl, Bund Futures, JGB. 1.2.2 Futures - EDs ... www.eurex.com Bund Future. 1.2.3 Swaps Why important? Important ...

The CME International Monetary Market (IMM) specializes in contracts with short ... futures contract is based on the short-term (28-day) Mexican interest rate. ...

Short-Term Contracts. The two principal short-term futures contracts are: ... The most popular form of short-term futures. Not subject to reserve requirements ...

Beginner, intermediate, and advanced topics. Define several types of interest rates. Discussion of issues to consider when selecting an interest rate model ...

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Removing Interest Rate Risk. Introduction ... It is rarely possible to eliminate interest rate risk completely ... To hedge the interest rate risk, invest in a ...

A cap is a collection of call options on interest rates (caplets) ... ZC = 104 * 0.9512 = 98.93. Derivatives 10 Options on bonds and IR |24. 2-year cap ...

Derivatives Options on Bonds and Interest Rates Professor Andr Farber Solvay Business School Universit Libre de Bruxelles Caps Floors Swaption Options on IR ...

Liquidity Effects in Interest Rate Options Markets: Premium or Discount? Prachi Deuskar ... How should illiquidity affect interest rate option prices? ...

Affine models were first investigated as a category by Brown and Schaefer (1994) ... In addition, an affine model may be 'extended', that is some of its parameters ...

In practice, this means determining the target for the 'Federal Funds Rate' ... Think of the interest rate in terms of trading some real amount of consumption ...

DERIVATIVES HEDGING AND ... right to sell SWAPS derivative instrument currency swaps (with other institutions to achieve interest rate savings) interest rate swaps ...

Topic 8. Swaps 8.1 Over-the-counter (OTC) Derivatives 8.2 Interest Rate Swap 8.3 Zero Curve 8.4 Forward Curve 8.5 Zero Delta 8.6 Forward Delta 8.7 DV01

Proposed by Group ALM of ABN AMRO in Amsterdam. How sensitive ... 'Bumping' the yield curve by perturbing the first three PCA factors by mean absolute change. ...

Duration and interest rate sensitivity usually increase with maturity (all else the same) ... of interest rate risk (passive ... Interest rate swap ...