Valuation of Interest Rate Swaps and Swaptions
Frank J. Fabozzi Series
1. Auflage Juni 2000
252 Seiten, Hardcover
Wiley & Sons Ltd
ISBN:
978-1-883249-89-2
John Wiley & Sons
Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.
About the Authors.
Introduction.
Calculating Swap Payments.
Computing the Present Value of Swap Payments and Determining theSwap Fixed Rate.
Traditional Approach to the Valuation of a Plain VanillaSwap.
Lattice Approach to Valuation.
Swap Valuation Using the Lattice Approach.
Valuation of Forward Start Swaps.
Valuing a Swaption.
Factos that Affect the Value of a Swaption.
Valuing Non-LIBOR Based Swaps and Basis Swaps.
Controlling Interest Rate Risk with Swaps.
Appendix A: Theoretical Spot and Forward Rates.
Appendix B: Binomial Interest Rate Model.
Appendix C: Valuation of Swaps Using the Trinomial Approach.
Index.
Introduction.
Calculating Swap Payments.
Computing the Present Value of Swap Payments and Determining theSwap Fixed Rate.
Traditional Approach to the Valuation of a Plain VanillaSwap.
Lattice Approach to Valuation.
Swap Valuation Using the Lattice Approach.
Valuation of Forward Start Swaps.
Valuing a Swaption.
Factos that Affect the Value of a Swaption.
Valuing Non-LIBOR Based Swaps and Basis Swaps.
Controlling Interest Rate Risk with Swaps.
Appendix A: Theoretical Spot and Forward Rates.
Appendix B: Binomial Interest Rate Model.
Appendix C: Valuation of Swaps Using the Trinomial Approach.
Index.
"Frank Fabozzi's series is the gold standard for investmentreference books. Always topical and often influential this is thefirst place I send students or practitioners when they want to getup to speed on a new area." (Stephen A. Ross, Franco ModiglianiProfessor of Finance and Economics, Sloan School, MIT)
"The Fabozzi series provides the ultimate educationalencyclopedia for the global debt capital markets. Each day,billions of dollars of debt securities trade around the worldaccording to the principles clearly and comprehensively explainedin this unrivaled series dedicated to the advancement of ourknowledge-based profession." (Jack Malvey, Managing Director, ChiefGlobal Fixed-Income Strategist, Lehman Brothers)
"When in doubt, you can always look it up in a book by FrankFabozzi. Fabozzi, who's not called the Prolific Professor fornothing, has written or edited dozens of textbooks oninvesting--all rock-solid, for advanced investors only." (JasonZwieg, Money.com)
"Frank Fabozzi's series is the gold standard for investment
reference books. Always topical and often influential this is the
first place I send students or practitioners when they want to get
up to speed on a new area." (Stephen A. Ross, Franco Modigliani
Professor of Finance and Economics, Sloan School, MIT)
"The Fabozzi series provides the ultimate educational
encyclopedia for the global debt capital markets. Each day,
billions of dollars of debt securities trade around the world
according to the principles clearly and comprehensively explained
in this unrivaled series dedicated to the advancement of our
knowledge-based profession." (Jack Malvey, Managing Director, Chief
Global Fixed-Income Strategist, Lehman Brothers)
"When in doubt, you can always look it up in a book by Frank
Fabozzi. Fabozzi, who's not called the Prolific Professor for
nothing, has written or edited dozens of textbooks on
investing--all rock-solid, for advanced investors only." (Jason
Zwieg, Money.com)
"The Fabozzi series provides the ultimate educationalencyclopedia for the global debt capital markets. Each day,billions of dollars of debt securities trade around the worldaccording to the principles clearly and comprehensively explainedin this unrivaled series dedicated to the advancement of ourknowledge-based profession." (Jack Malvey, Managing Director, ChiefGlobal Fixed-Income Strategist, Lehman Brothers)
"When in doubt, you can always look it up in a book by FrankFabozzi. Fabozzi, who's not called the Prolific Professor fornothing, has written or edited dozens of textbooks oninvesting--all rock-solid, for advanced investors only." (JasonZwieg, Money.com)
"Frank Fabozzi's series is the gold standard for investment
reference books. Always topical and often influential this is the
first place I send students or practitioners when they want to get
up to speed on a new area." (Stephen A. Ross, Franco Modigliani
Professor of Finance and Economics, Sloan School, MIT)
"The Fabozzi series provides the ultimate educational
encyclopedia for the global debt capital markets. Each day,
billions of dollars of debt securities trade around the world
according to the principles clearly and comprehensively explained
in this unrivaled series dedicated to the advancement of our
knowledge-based profession." (Jack Malvey, Managing Director, Chief
Global Fixed-Income Strategist, Lehman Brothers)
"When in doubt, you can always look it up in a book by Frank
Fabozzi. Fabozzi, who's not called the Prolific Professor for
nothing, has written or edited dozens of textbooks on
investing--all rock-solid, for advanced investors only." (Jason
Zwieg, Money.com)
Frank J. Fabozzi, PhD, is editor of the Journal of Portfolio Management, which is read by thousands of institutional investors. An Adjunct Professor of Finance at Yale University's School of Management, he is a chartered Financial Analyst and a Certified Public Accountant. Editor or author of over 100 books, his world-class finance books are used around the world by professionals, academics, students, strategists, and investors in college courses, executive training programs, company training programs, and prepatory courses for the chartered financial analyst (CFA) exam. He serves on the board of directors of the BlackRock complex of funds and the Guardian Life family of funds and is also a Fellow of the International Center for Finance at Yale University. Dr. Fabozzi earned his doctorate in economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Humane Letters from Nova Sotheastern University.
