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雷达卡
ISBN: 978 1 85564 052 8
No. of Pages: 245
Author(s): Paul Miron & Philip Swannell
Publisher: Euromoney Books
This book explains both the basic and advanced principles of pricing swaps and their hedge applications. Chapters describe pricing methods, swap valuation, dealing with interest rate exposure, developing trading strategies and their application in portfolio management. Lucid, clearly structured with extensive use of worked examples. Interest areas: derivatives, futures, options, valuation, investment management.
Pricing and Hedging Swaps
Table of Contents
Chapter 1: Introduction
What the book is about
For whom the book is intended
Background knowledge required
An outline of the book
Chapter 2: Defining the Swap
What is an interest rate swap?
Features of a standard interest rate swap
Non standard interest rate swaps
Currency swaps
Why have principal exchanges?
Types of currency swaps
Chapter 3: Background to Swap Market
The development of the market
Market size
Developments in book running
The uses of swaps: a few examples
Chapter 4: Hedging Instruments
Government Bonds
Yield to Maturity
Markets details
Modified duration and convexity
Futures Contracts
Forward Rate Agreements
Loans and Deposits
Chapter 5: A Simple Approach to Swap Pricing
Basic concepts
The present value of a cashflow
Accrual basis conversion
Annual versus semi-annual
The value of an annuity
First worked examples
Comparison swaps
Worked examples: pricing
Worked examples: valuation
Basis swaps
Pricing currency swaps
Valuing currency swaps
Remarks
Chapter 6: Zero Coupon Pricing
In defence of zero coupon pricing
Constructing the discount function
Valuing LIBOR cashflows
Stripping the curve
A worked example
A more complicated example
Interpolation
Incorporating Futures
The futures strip
Integrating the curves
Other curves
Chapter 7: Valuing a Swap
The bid-offer spread
The fixed leg
The floating leg
Special features
LIBOR margins
Back-set and compounded LIBOR
Amortising and rollercoaster swaps
Currency swaps
Pricing the swap
Chapter 8: Interest Rate Exposure
A simple example
An experiment
The nature of the delta vector
Par swaps and other par rates
Equivalent positions
Analytical deltas
The case of no futures: a preview
Using no futures: the maths
How F changes as R changes
How R changes as R?changes
How F changes as R?changes
Between the grid points
Portfolio deltas
Equivalent positions
Expanded equivalent positions
Incorporating futures: a discussion
Futures: the maths
Building the discount function
The delta vector
Equivalent positions
The gamma matrix
Chapter 9: Hedging and Trading Swaps
Why and what to hedge
Hedging with bonds
Calculating the swap PVBP
Trading against the futures strip
The swap-FRA arbitrage
Bond futures hedging
Reinvestment risk
Forward FX arbitrage
Fixed-fixed currency swaps
Chapter 10: Interest Rate Options
A toy model
The standard model
Cap and floor exposures
Swaptions
Other models
Hedging options
Chapter 11: Managing a Portfolio
LIBOR exposures
Cross-currency and cash positions
Cash payments on swaps
Cross-currency cashflows
Chapter 12: Conclusions Continuous Compounding Example Sterling Curves The Delta of a Par Swap Zero Coupon and Additive Systems
Definitions
Proof Answers to Questions of Chapter 5
Glossary of Symbols
Bibliography
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