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
3 mins read Defining the Par Term Structure Step 1: Select an appropriate term structure Based on the interest rate swap being priced
2 mins read The following process will be followed when determining the value or price of an interest rate swap. Firstly, a default
2 mins read Swaps This is an agreement between two parties, usually institutions, to exchange cash flows according to a predefined calculation at
2 mins read Relationship between Spot and Forward Rates The following formulas summarize the relationship between the spot and forward rates of interest:
2 mins read Session One Definitions Cash flows The key to pricing or valuing any instrument is to estimate the cash flows of
8 mins read Option Trading Strategies refer to a combination of trades that can be used to reduce premiums, reduce downside, reduce upside, increase leverage, reduce leverage or a combination of one or more of the above elements. We start off with a review of the simplest of option trades and then use them as building blocks for other more complex combinations.