Mastering Financial Calculations: A step-by-step guide to the mathematics of financial market instruments, Second edition

Chapter 9. Interest Rate and Currency Swaps

“Any swap is effectively an exchange of one set of cashflows for another, considered to be of equal value. The concept of a basic interest rate swap is similar to an FRA, but is applied to a series of cashflows over a longer period of time rather than to a single period.”

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Basic concepts and applications

Overnight indexed swap (OIS)

Pricing

Valuing swaps

Hedging an interest rate swap

Amortising and forward-start swaps

Currency swaps

Exercises

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Basic Concepts and Applications

Any swap is effectively the exchange of one set of cashflows for another considered to be of equal value. The concept of a basic interest rate swap in particular is very similar to an FRA, but is applied to ...