Pricing an Interest Rate Swap – Calculating the MTM of the Swap
2 mins read Step 13: Determine the cash flows The cash flows for the receiving and paying legs are as follows: Fixed
Pricing Interest Rate Swaps – Calculating the forward curve
< 1 min read Deriving the Forward Curve Step 9: Deriving forward rates In order to derive forward rates from the zero coupon rates
Bootstrapping bonds to derive the zero curve
3 mins read We use the bootstrapping bonds method to derive the zero curve from the par term structure. This is an iterative
Pricing Interest Rate Swaps – Fixing the term structure
3 mins read Defining the Par Term Structure Step 1: Select an appropriate term structure Based on the interest rate swap being priced
Pricing Interest Rate Swaps – Process
2 mins read The following process will be followed when determining the value or price of an interest rate swap. Firstly, a default
Master Class: Derivative Products: Swaps
4 mins read Swaps This is an agreement between two parties, usually institutions, to exchange cash flows according to a predefined calculation at