Swaps 1 von Edu Pristine

Dozent des Vortrages Swaps 1

Edu Pristine

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... buyer of interest rate swaps. Discuss interest rate swaps. Discuss currency swaps. Discuss basis swaps. Discuss volatility swaps. Decompose a swap into its respective cash flows. ...

... This means that the market value of the receipts and payments will be identical at time t0, when evaluated at et0. Yet, once the contract is signed, Yen interest rates may fall relative to European rates. This would make the receipt of 8% Yen funds relatively more valuable than the payments of 6.5% in Euro, assuming no change in the exchange rate. As a result, from the point of view of ...

... based cash flows. Putting two equity swaps together one can swap returns between two equity indices, the LIBOR payments will cancel each other. For example one can buy one equity swap for Nasdaq, and sell one for S&P500 indices ...

... a fixed price for soya bin oil. Hence this plant may want to receive a floating price of soya oil and pay a fixed price. When coupled with spot purchases of soya oil, this swap will eliminate the floating soya oil price risk for the plant. The floating soya oil price that is ...

... of a floating Libor rate, in the same currency. Buyer of the interest rate swaps: Generally two companies with different credit ratings and wanted to gain in the interest rate applied to their loan. Uses of an Interest Rate Swap: Converting a liability from fixed rate to floating rate or floating rate to fixed rate ...

... Floating rate notes in different currencies that reset at the same times Ti. Uses: Conversion from a liability in one currency to a liability in another currency and conversion from an investment in one currency to an investment in another currency. Example: An agreement to pay 11% on a sterling principal ...

... Example: A UK government agency borrows from international money markets in pound LIBOR and then lends these funds to mortgage banks at the pound discount rate. Government faces a basis risk in doing this. There is always a small difference between the interest rate that is paid, which is pound LIBOR, and the interest rate it receives, ...