Valuation of Interest Rate Swaps and SwaptionsISBN: 978-1-883249-89-2
Hardcover
252 pages
June 2000
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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About the Authors.
Introduction.
Calculating Swap Payments.
Computing the Present Value of Swap Payments and Determining theSwap Fixed Rate.
Traditional Approach to the Valuation of a Plain VanillaSwap.
Lattice Approach to Valuation.
Swap Valuation Using the Lattice Approach.
Valuation of Forward Start Swaps.
Valuing a Swaption.
Factos that Affect the Value of a Swaption.
Valuing Non-LIBOR Based Swaps and Basis Swaps.
Controlling Interest Rate Risk with Swaps.
Appendix A: Theoretical Spot and Forward Rates.
Appendix B: Binomial Interest Rate Model.
Appendix C: Valuation of Swaps Using the Trinomial Approach.
Index.
Introduction.
Calculating Swap Payments.
Computing the Present Value of Swap Payments and Determining theSwap Fixed Rate.
Traditional Approach to the Valuation of a Plain VanillaSwap.
Lattice Approach to Valuation.
Swap Valuation Using the Lattice Approach.
Valuation of Forward Start Swaps.
Valuing a Swaption.
Factos that Affect the Value of a Swaption.
Valuing Non-LIBOR Based Swaps and Basis Swaps.
Controlling Interest Rate Risk with Swaps.
Appendix A: Theoretical Spot and Forward Rates.
Appendix B: Binomial Interest Rate Model.
Appendix C: Valuation of Swaps Using the Trinomial Approach.
Index.
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