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Interest Rate and Currency Swaps: A Tutorial
Offering a thorough discussion of two useful and widely used forms of derivatives--interest rate and currency swaps, this book provides step-by-step instructions and real-life examples of how to use the swaps. Exercises (and solutions) after each chapter permit readers to learn by doing. Includes an extensive bibliography.
Contents:
1. Overview of the Swap Market.
2. Economic Interpretations of a Swap Contract.
3. Swap Applications.
4. Pricing Interest Rate and Currency Swaps.
5. The Risks in Swap Contracting.
6. Swap Design Variations and Extensions.
Appendix:
- Calculation of the Macaulay Duration Statistic.
- Glossary of Swap Terminology.
Contents:
1. Overview of the Swap Market.
2. Economic Interpretations of a Swap Contract.
3. Swap Applications.
4. Pricing Interest Rate and Currency Swaps.
5. The Risks in Swap Contracting.
6. Swap Design Variations and Extensions.
Appendix:
- Calculation of the Macaulay Duration Statistic.
- Glossary of Swap Terminology.
138 pages, Paperback
First published April 14, 2000
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