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| Interest Rate, Currency, and Asset Swaps |
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Definitions and terminology |
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Market participants and drivers |
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Cash flows and timing |
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Quotation and dealing conventions |
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Interest rate swaps: standard vs. non-standard swaps |
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Currency swaps: fixed-fixed, fixed-float, float-float |
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Asset swaps |
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Hedging interest-rate risk |
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Fixing financing costs |
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Fixing investment returns |
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Reducing financing costs |
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Swap applications |
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Swap risk compared for different types of swaps |
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| Yield Curves and Zero-Coupon Pricing |
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Yield curve mathematics |
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Zero-coupon rates |
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Swap and par rates |
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Forward rates |
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Zero-coupon pricing |
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Discount factors and the discount function |
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Links between swap, zero & forward rates |
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Calculating discount factors from market rates |
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Deriving the discount function from market rates |
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Pricing an FRA from the futures strip |
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| Pricing and Valuing Swaps |
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Swap valuation principles |
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Valuing the fixed leg |
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Valuing the floating leg |
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Valuing a swap |
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Pricing vanilla and non-standard swaps |
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Sensitivity to movements in swap rates |
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Cancelling or unwinding a swap |
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Valuing swaps |
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Partial coupon periods and other non-standard features |
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Credit exposure – measurement and management |
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Hedging swaps |
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Hedging swaps using strips of futures |
