Pricing floating for floating or basis swaps, except that zero curves and forward rates will be derived for both legs of the swap accordingly.
1 min readCourse Details
Course Contents
Pricing and Valuation
1. Pricing Interest Rate Swaps (IRS)
- a. Pre-requisites
- b. Pricing Coupon Swaps or Fixed for Floating Swaps
- c. Pricing Basis Swaps or Floating for Floating Swaps
2. Pricing Cross Currency Swaps
- a. Fixed for Fixed Currency Swap
- b. Floating for Floating Currency Swap
- c. Amortizing Floating for Floating Currency Swap
Number of pages
13
File Size
750 KB