Interest Rate Swap Valuation for Accounting and Tax Purposes ABSTRACT

Oceňování úrokových swapů pro účetní daňové účely

Jaroslav Brada

Český finanční a účetní časopis, 2012, vol. 2012, issue 1, 104-120

Abstract: Paper analyzes theoretical background and provides the valuation formulas for standard and amortized Interest Rate Swap (IRS) valuation. Valuation IRS is provided in time of buy or sell IRS or as the valuation of the existing IRS. Paper provides practical aspects of valuation for valuation practice practice and includes necessary formulas too. Problems with display of IRS in double-entry accounting are mentioned also. Paper drew attention to the difficulties of capturing the IRS as the investment tool with "zero" price in the assets or increasing the amount of balance sum in cases where IRS is recorded as a pair of transactions "purchased bond" and "issued bond".

Keywords: Interest Rate Swap (IRS); Interest Rate Swap Valuation; Swap Valuation; Úrokový swap; Oceňování úrokových swapů; Oceňování swapů (search for similar items in EconPapers)
JEL-codes: G12 G32 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.18267/j.cfuc.306

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