Interest Rate and Currency Swaps
George Constantinides
Chapter 3 in Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 39-60 from World Scientific Publishing Co. Pte. Ltd.
Abstract:
The following sections are included:IntroductionMotivation for Interest Rate and Currency SwapsPlain Vanilla Interest Rate SwapsThe Role of the Financial IntermediaryValuing Interest Rate SwapsHedging the SwapPlain Vanilla Foreign Currency SwapsMethod 1: Present-Value Calculation of the Value of the SwapMethod 2: Multi-Forward-Contract Calculation of the Value of the SwapSwaptionsEurodollar FuturesAssignment 2
Keywords: Futures; Forwards; Options; Corporate Securities; Derivatives; Hedging; Risk Management (search for similar items in EconPapers)
Date: 2015
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