Swaps 2 von Edu Pristine

Dozent des Vortrages Swaps 2

Edu Pristine

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... value of a floating-rate bond; Valuation in Terms of Bonds: The fixed rate bond is valued in the usual way & the floating rate bond is valued by noting that it is worth par immediately after the next payment date. Value of the swap to a company receiving floating and paying fixed = PV of floating bond – PV of fixed bond. Example: A 1 million notional swap that pays a floating rate based ...

... Value of the swap to a company receiving USD = Value of the USD bond – S0 × Value of the foreign currency bond. In this example , the value of GBP bond is converted to USD at 1.5 the current spot rate. - Value of the ...

... can be valued as a portfolio of forward rate agreements (FRAs). A FRA is aforward contract in which one party pays a fixed interest rate, and receives a floating interest rate equal ...

... and pay a crude oil-linked rate such that as the price of crude oil rises, the fixed rate he pays declines. Crack spread swap is a swap used by oil refiners. They pay the floating price of the refined product, and receive the floating price of crude oil plus a fixed margin, the crack spread. This way refiners can hedge a narrowing of the spread between crude oil prices and the price of their refined products. Overnight Index Swap. This is an interest rate swap which uses some index of overnight interest rates for the floating leg. ...

... creditworthiness of the swap's parties, and other economic factors that could influence the terms of the investment's interest rates. Swap rate: The rate of the fixed portion of a swap as determined by its particular market. – For example: 1) The interest rate associated with the fixed portion of an interest rate swap. 2) The exchange rate associated with the fixed portion of a currency ...

... is negatively affected by default on future payments. This will lead to a loss of a capital gain. Volatility and correlation risk: Some swaps have significant convexities and their value depends on the volatilities and correlations of the underlying forward rates significantly. ...

... at time of initiation and hence they don’t require any funding. One can hedge his positions in Equity, commodities and Fixed Income by quickly arranging proper swaps and then unwinding these positions when there is no need for the hedge. Swap can be used as tradinginstruments: ...