| Description |
1 online resource (xxi, 599 pages) : illustrations |
| Physical Medium |
polychrome |
| Description |
text file |
| Bibliography |
Includes bibliographical references (pages 585-588) and index. |
| Contents |
Preface; Acknowledgments; List of Abbreviations; 1 An Introduction to Swaps; 1.1 Overview; 1.2 Swaps; 1.2.1 Fixed-Floating Swaps; 1.2.2 Basis Swaps; 1.2.3 Cross-Currency Swaps; 2 The Risk Characteristics and the Traditional Uses of Swaps; 2.1 Interest Rate Risk; 2.1.1 Pv01; 2.2 Spread Risk; 2.2.1 A Closer Look at Swap Spreads; 2.3 Currency Risk; 2.4 Counterparty Risk; 2.5 Traditional Uses of Swaps; 2.5.1 New Issue Hedging; 2.5.2 Asset Swaps; 2.5.3 Balance Sheet Management; 3 The Pricing of Swaps; 3.1 Where Do Swap Rates Come From? |
|
Machine generated contents note: 1. Introduction to Swaps -- 1.1. Overview -- 1.2. Swaps -- 1.2.1. Fixed-Floating Swaps -- 1.2.2. Basis Swaps -- 1.2.3. Cross-Currency Swaps -- 2. Risk Characteristics and the Traditional Uses of Swaps -- 2.1. Interest Rate Risk -- 2.1.1. PV01 -- 2.2. Spread Risk -- 2.2.1. Closer Look at Swap Spreads -- 2.3. Currency Risk -- 2.4. Counterparty Risk -- 2.5. Traditional Uses of Swaps -- 2.5.1. New Issue Hedging -- 2.5.2. Asset Swaps -- 2.5.3. Balance Sheet Management -- 3. Pricing of Swaps -- 3.1. Where Do Swap Rates Come From-- 3.1.1. Link Between Swap Rates and Eurodollar Futures -- 3.1.2. Futures Convexity Bias -- 3.2. Moving On: Bootstrapping the Curve and Creating a Swap Model -- 3.2.1. Stylized Example -- 3.2.2. PV01s in Our Stylized Example -- 3.3. Moving On: Pricing Up Nonstandard Swaps -- 3.3.1. Mark-to-Markets -- 3.3.2. Unwinds -- 3.3.3. Assignments -- 3.3.4. Forward Starting Swaps -- 4. Caps and Floors -- 4.1. Introduction to Caps and Floors -- 4.1.1. Cap-Floor Parity -- 4.1.2. Uses of Caps and Floors -- 4.1.3. Embedded Cap Trade -- 4.1.4. Valuing Caps and Floors -- 4.1.5. Vol -- 4.1.6. Valuing Caps and Floors in Our Stylized Model -- 4.1.7. Variations of Standard Caps and Floors -- 5. Swaptions -- 5.1. Introduction to Swaptions -- 5.1.1. Value of Swaptions at Expiration -- 5.1.2. Swaption Parity -- 5.1.3. Uses of Swaptions -- 5.1.4. Valuing Swaptions Using Black's Formula -- 5.1.5. Swaption Vol -- 5.1.6. Pricing Swaptions in Our Stylized Example -- 5.2. Link Between Caps/Floors and Swaptions -- 5.3. Questioning Black's Model for Interest Rate Options -- 5.3.1. Are Interest Rates Lognormal-- 5.3.2. Swaption Prices and Implied Vol -- 5.3.3. Skew -- 5.4. Normal Model -- 5.4.1. Background -- 5.4.2. Model -- 5.4.3. Pricing Under the Normal Model -- 5.4.4. Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions -- 5.4.5. Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions -- 5.4.6. Normal Model: The Industry Standard -- 5.5. Other Models Used to Price Interest Rate Options -- 5.6. Bermudan Swaptions -- 5.6.1. Optimal Exercise of Bermudan Swaptions -- 5.6.2. Valuation of Bermudan Swaptions -- 6. Swaps with Embedded Options -- 6.1. Underlying Concept -- 6.2. Cancelable Swaps -- 6.2.1. Some Uses of Cancelable Swaps -- 6.2.2. Solving for the Fixed Rate in Cancelable Swaps -- 6.2.3. Bermudan Cancelables -- 6.3. Index Amortizing Swaps -- 6.3.1. Explanation of the Trade -- 6.3.2. Pricing Index Amortizing Swaps -- 6.3.3. Relationship Between Index Amortizing Swaps and Cancelable Swaps -- 6.4. Knockout Swaps -- 6.5. Swaps with Convexity Adjustments -- 6.5.1. LIBOR in Arrears Swaps -- 6.5.2. CMS Swaps -- 7. Structured Notes -- 7.1. Rise of the Structured Note Market -- 7.2. Glossary of Structured Notes -- 7.3. Size of the Market -- 7.4. What Are Structured Notes-- 7.5. In the Beginning Floating Rate Notes -- 7.5.1. Prime Floating Rate Note -- 7.6. Capped Floaters -- 7.6.1. Example: Pricing Up a Capped Floater -- 7.7. Inverse Floaters -- 7.7.1. Example: Pricing Up a Leveraged Inverse Floater -- 7.7.2. Orange County -- 7.8. Range Notes -- 7.8.1. LEANs -- 7.8.2. Binary Accrual Notes -- 7.9. Regulatory Response -- 7.10. Non-Inversion Notes -- 7.10.1. Pricing of Non-Inversion Notes -- 8. Relative Value and Macro Trades -- 8.1. Carry and Roll-Down Analysis -- 8.2. Curve Trades -- 8.2.1. Yield Curve Trades for Longer Holding Periods -- 8.2.2. Forward Yield Curve Trades -- 8.2.3. Conditional Yield Curve Trades -- 8.3. Trading Swap Spreads -- 8.3.1. Spread Trades for Longer Holding Periods -- 8.3.2. Spread of Spread Trades -- 8.3.3. Conditional Spread Trades -- 8.4. Asset Swaps Revisited -- 8.4.1. Asset Swap Math -- 8.4.2. Asset Swaps Today -- 9. More Recent Product Innovations -- 9.1. Introduction to Correlation Trades: Caps Versus Payer Redux -- 9.2. Forward Vol Trades -- 9.2.1. Preliminary -- 9.2.2. Description of Forward Vol -- 9.2.3. Heuristic Pricing of Forward Vol Trades -- 9.2.4. Will the Forward Price Be Higher or Lower Than the Spot Price-- 9.2.5. Are Forward Vol Trades Truly a Pure View on Vol-- 9.2.6. Bermudan Cancelable Swaps Revisited -- 9.3. Curve Options -- 9.3.1. Why Did Curve Options Come About-- 9.3.2. Implied Correlation -- 9.3.3. Implied Volatility Versus Realized Volatility -- 9.3.4. Supply and Demand of Curve Options -- 9.3.5. Pricing of Curve Options -- 9.3.6. Couple of Trades -- 9.3.7. Delta Hedging Curve Options -- 9.3.8. So Why Did 30-Year Swap Spreads Go Negative --- and What Does That Have to Do with Curve Options-- Appendixes -- A. Refresher in Option Pricing -- A.1. Basics -- A.2. Boundaries on Option Prices -- A.3. European Put-Call Parity -- A.4. Binomial Pricing -- A.4.1. Multiperiod Extensions -- A.5. Black-Scholes Formula -- A.6. Option Sensitivities -- A.6.1. Delta -- A.6.2. Gamma -- A.6.3. Vega -- A.6.4. Theta -- A.7. Binary Options -- A.7.1. Delta of Binary Options -- A.7.2. Vega of Binary Options -- A.8. Packages -- B. Brief Review of Some Fixed Income Topics -- B.1. Present Value -- B.2. Duration -- B.2.1. Macaulay Duration -- B.2.2. Modified Duration -- B.2.3. Effective Duration -- C. Closer Look at Day Count and Payment Conventions in Swaps -- D. Quick Look at Mortgages -- E. Normal Model -- E.1. Relationship Between σLN and σN for Swaptions that Are Struck At-the-Money Forward -- E.2. Relationship Between σLN and σN for Off-the-Money Swaptions -- E.3. Option Sensitivities Under the Normal Model. |
|
3.1.1 The Link Between Swap Rates and Eurodollar Futures3.1.2 The Futures Convexity Bias; 3.2 Moving On: Bootstrapping the Curve and Creating a Swap Model; 3.2.1 A Stylized Example; 3.2.2 Pv01s in Our Stylized Example; 3.3 Moving On: Pricing Up Nonstandard Swaps; 3.3.1 Mark-to-Markets; 3.3.2 Unwinds; 3.3.3 Assignments; 3.3.4 Forward Starting Swaps; 4 Caps and Floors; 4.1 An Introduction to Caps and Floors; 4.1.1 Cap-Floor Parity; 4.1.2 Uses of Caps and Floors; 4.1.3 An Embedded Cap Trade; 4.1.4 Valuing Caps and Floors; 4.1.5 Vol; 4.1.6 Valuing Caps and Floors in Our Stylized Model. |
|
4.1.7 Variations of Standard Caps and Floors5 Swaptions; 5.1 An Introduction to Swaptions; 5.1.1 The Value of Swaptions at Expiration; 5.1.2 Swaption Parity; 5.1.3 Uses of Swaptions; 5.1.4 Valuing Swaptions Using Black's Formula; 5.1.5 Swaption Vol; 5.1.6 Pricing Swaptions in Our Stylized Example; 5.2 The Link Between Caps/Floors and Swaptions; 5.3 Questioning Black's Model for Interest Rate Options; 5.3.1 Are Interest Rates Lognormal?; 5.3.2 Swaption Prices and Implied Vol; 5.3.3 Skew; 5.4 The Normal Model; 5.4.1 Background; 5.4.2 The Model; 5.4.3 Pricing Under the Normal Model. |
|
5.4.4 Relationship Between Normal Implied Vol and Lognormal Implied Vol for At-the-Money Swaptions5.4.5 Explaining Skew: The Relationship Between Normal Implied Vol and Lognormal Implied Vol for Off-the-Money Swaptions; 5.4.6 The Normal Model: The Industry Standard; 5.5 Other Models Used to Price Interest Rate Options; 5.6 Bermudan Swaptions; 5.6.1 Optimal Exercise of Bermudan Swaptions; 5.6.2 Valuation of Bermudan Swaptions; 6 Swaps with Embedded Options; 6.1 An Underlying Concept; 6.2 Cancelable Swaps; 6.2.1 Some Uses of Cancelable Swaps; 6.2.2 Solving for the Fixed Rate in Cancelable Swaps. |
|
6.2.3 Bermudan Cancelables6.3 Index Amortizing Swaps; 6.3.1 An Explanation of the Trade; 6.3.2 Pricing Index Amortizing Swaps; 6.3.3 Relationship Between Index Amortizing Swaps and Cancelable Swaps; 6.4 Knockout Swaps; 6.5 Swaps with Convexity Adjustments; 6.5.1 Libor in Arrears Swaps; 6.5.2 Cms Swaps; 7 Structured Notes; 7.1 The Rise of the Structured Note Market; 7.2 A Glossary of Structured Notes; 7.3 Size of the Market; 7.4 What Are Structured Notes?; 7.5 In the Beginning ... Floating Rate Notes; 7.5.1 A Prime Floating Rate Note; 7.6 Capped Floaters. |
| Summary |
Interest rate swaps allow counterparties to exchange fixed rate streams of payment for floating ones. The first swap was executed over thirty years ago, and since then, the interest rate swaps market and other related derivative markets have grown and diversified in phenomenal directions. Today interest rate swaps and other derivatives are used by myriad institutional investors for the purposes of risk management, expressing a view on the market, and exploiting market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard M. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Language |
English. |
| Subject |
Interest rate futures.
|
|
Interest rate futures. |
|
Swaps (Finance)
|
|
Swaps (Finance) |
|
Interest rate swaps.
|
|
Interest rate swaps. |
|
Derivative securities.
|
|
Derivative securities. |
| Genre/Form |
Electronic books.
|
|
Electronic books.
|
| Other Form: |
Print version: Corb, Howard. Interest rate swaps and other derivatives. New York : Columbia Business School, ©2012 9780231159647 (DLC) 2012001490 (OCoLC)772715747 |
| ISBN |
9780231530361 electronic book |
|
0231530366 electronic book |
|
9780231159647 |
|
0231159641 |
|
