Pricing and hedging swaps:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London
Euromoney Publ.
1991
|
| Series: | Euromoney books
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XI, 246 S. graph. Darst. |
| ISBN: | 185564052X |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV005871711 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | t | ||
| 008 | 921126s1991 d||| |||| 00||| eng d | ||
| 020 | |a 185564052X |9 1-85564-052-X | ||
| 035 | |a (OCoLC)23826795 | ||
| 035 | |a (DE-599)BVBBV005871711 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-384 |a DE-11 |a DE-188 | ||
| 050 | 0 | |a HG3881 | |
| 082 | 0 | |a 332.645 |2 20 | |
| 084 | |a QK 600 |0 (DE-625)141666: |2 rvk | ||
| 100 | 1 | |a Miron, Paul |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Pricing and hedging swaps |c by Paul Miron and Philip Swannell |
| 264 | 1 | |a London |b Euromoney Publ. |c 1991 | |
| 300 | |a XI, 246 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Euromoney books | |
| 650 | 7 | |a Swaps |2 gtt | |
| 650 | 4 | |a Swaps (Finance) | |
| 650 | 0 | 7 | |a Hedging |0 (DE-588)4123357-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Swap |0 (DE-588)4199581-8 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Swap |0 (DE-588)4199581-8 |D s |
| 689 | 0 | 1 | |a Hedging |0 (DE-588)4123357-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Swannell, Philip |e Verfasser |4 aut | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003675864&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-003675864 | ||
Record in the Search Index
| _version_ | 1804120060612050944 |
|---|---|
| adam_text | Contents
1 Introduction 1
1.1 What the book is about 2
1.2 For whom the book is intended 3
1.3 Background knowledge required 5
1.4 An outline of the book 6
2 Defining the swap 9
2.1 What is an interest rate swap? 9
2.2 Features of a standard interest rate swap 10
2.3 Non standard interest rate swaps 15
2.4 Currency swaps 18
2.4.1 Why have principal exchanges? 19
2.4.2 Types of currency swaps 21
3 Background to the swap market 23
3.1 The development of the market 23
3.2 Market size 25
3.3 Developments in book running 27
3.4 The uses of swaps: a few examples 28
4 Hedging Instruments 31
4.1 Government Bonds 33
4.1.1 Yield to Maturity 33
4.1.2 Market details 41
4.1.3 Modified duration and convexity 42
4.2 Futures Contracts 44
4.3 Forward Rate Agreements 48
i
ii CONTENTS
4.4 Loans and Deposits 50
5 A simple approach to swap pricing 51
5.1 Basic concepts 53
5.1.1 The present value of a cashflow 53
5.1.2 Accrual basis conversion 55
5.1.3 Annual versus semi annual 56
5.1.4 The value of an annuity 58
5.2 First worked examples 60
5.3 Comparison swaps 62
5.4 Worked examples: pricing 67
5.5 Worked examples: valuation 78
5.6 Basis swaps 83
5.7 Pricing currency swaps 84
5.8 Valuing currency swaps 86
5.9 Remarks 89
6 Zero coupon pricing 91
6.1 In defence of zero coupon pricing 91
6.2 Constructing the discount function 93
6.2.1 Valuing LIBOR cashflows 93
6.2.2 Stripping the curve 96
6.2.3 A worked example 100
6.2.4 A more complicated example 103
6.3 Interpolation 108
6.4 Incorporating Futures Ill
6.5 The futures strip 112
6.6 Integrating the curves 114
6.7 Other curves 117
7 Valuing a swap 121
7.1 The bid offer spread 121
7.2 The fixed leg 122
7.3 The floating leg 123
7.4 Special features 124
7.4.1 LIBOR margins 124
7.4.2 Back set and compounded LIBOR 125
CONTENTS iii
7.4.3 Amortising and rollercoaster swaps 128
7.4.4 Currency swaps 129
7.5 Pricing the swap 131
8 Interest rate exposure 133
8.1 A simple example 134
8.2 An experiment 135
8.3 The nature of the delta vector 138
8.4 Par swaps and other par rates 139
8.5 Equivalent positions 139
8.6 Analytic deltas 144
8.7 The case of no futures: a preview 145
8.8 Using no futures: the maths 147
8.8.1 How F changes as R changes 148
8.8.2 How R changes as R changes 149
8.8.3 How F changes as R changes 150
8.8.4 Between the grid points 151
8.8.5 Portfolio deltas 153
8.8.6 Equivalent positions 154
8.8.7 Expanded equivalent positions 154
8.9 Incorporating futures: a discussion 155
8.10 Futures: the maths 156
8.10.1 Building the discount function 157
8.10.2 Calculating §g 159
8.10.3 Calculating j $j 160
8.10.4 The delta vector 163
8.10.5 Equivalent positions 163
8.11 The gamma matrix 164
9 Hedging and trading swaps 167
9.1 Why and what to hedge 167
9.2 Hedging with bonds 169
9.3 Calculating the swap PVBP 170
9.4 Trading against the futures strip 171
9.5 The swap FRA arbitrage 174
9.6 Bond futures hedging 176
9.7 Reinvestment risk 177
iv CONTENTS
9.8 Forward FX arbitrage 179
9.9 Fixed fixed currency swaps 181
10 Interest rate options 185
10.1 A toy model 186
10.2 The standard model 188
10.3 Cap and floor exposures 197
10.4 Swaptions 201
10.5 Other models 207
10.6 Hedging options 209
11 Managing a portfolio 213
11.1 LIBOR exposures 213
11.2 Cross currency and cash positions 217
11.2.1 Cash payments on swaps 218
11.2.2 Cross currency cashflows 219
12 Conclusions 223
A Continuous compounding 225
B Example sterling curves 227
C The delta of a par swap 231
D Zero coupon and additive systems 233
D.I Definitions 233
D.2 Proof 235
E Answers to questions of chapter 5 237
Glossary of symbols 240
Bibliography 245
List of Figures
2.1 Diagrammatic representation of an interest rate swap . . 14
2.2 Diagrammatic representation of a currency swap 19
4.1 Cashflow schedule of a generic bond 35
4.2 Cashflow schedule of a bond bought between coupon dates. 37
4.3 Graphical representation of the Newton Raphson equation. 38
5.1 A simple annuity 58
5.2 A general annuity 59
5.3 Three swaps/bonds 63
5.4 A two and a half year bond 64
6.1 LIBOR payment as principal flows 96
6.2 LIBOR payments on a two year swap 97
6.3 A one year par swap 98
6.4 Cashflows on a three year par swap 103
6.5 A one year semi annual par swap 105
6.6 A linearly interpolated function 109
6.7 Exponential interpolation Ill
8.1 A picture of Jg 146
8.2 A picture of part of ^7 150
8.3 A picture of part of ^ 161
8.4 An aid to calculating ^Lf 162
1.5/
10.1 Evolution of bond prices in a toy model 186
11.1 LIBOR exposure over time 217
11.2 Cross currency position versus time 221
v
List of Tables
3.1 Swap volumes for 1989 26
5.1 A dollar yield curve 69
5.2 Comparison swap for Example 5.7 70
5.3 A sterling yield curve 71
5.4 Comparison swaps for Example 5.9 73
5.5 Cashflows for the ECU bond and swap of Example 5.10 . 76
6.1 Discount factors for a dollar curve 102
6.2 A sterling yield curve 106
6.3 Discount function for the curve in Table 6.2 109
6.4 Combined swap and futures dates 115
6.5 An FRA generated discount function 119
7.1 Cashflows to replicate LIBOR payments 124
7.2 Implied sterling forward rates 126
7.3 The value of a back set LIBOR deal 127
7.4 A rollercoaster swap 129
7.5 A three year sterling swap two years forward 132
8.1 A sterling yield curve 134
8.2 Change in portfolio value for a change in individual rates 136
8.3 The delta vector 137
8.4 The delta of a £10,000,000 par five year swap 140
8.5 Deltas for £10,000,000 par swaps 141
8.6 Portfolio equivalent positions 142
8.7 The ordering of the grid points 157
9.1 PVBP for par sterling swaps 171
vii
viii LIST OF TABLES
9.2 Forward dollar /sterling points 181
10.1 A toy model for option hedging 211
B.I A sterling yield curve 228
B.2 Discount function generated from swaps and deposits . . 228
B.3 Sterling futures prices 229
B.4 Discount function generated from futures 229
B.5 Discount function generated from swaps, deposits and
futures 230
|
| any_adam_object | 1 |
| author | Miron, Paul Swannell, Philip |
| author_facet | Miron, Paul Swannell, Philip |
| author_role | aut aut |
| author_sort | Miron, Paul |
| author_variant | p m pm p s ps |
| building | Verbundindex |
| bvnumber | BV005871711 |
| callnumber-first | H - Social Science |
| callnumber-label | HG3881 |
| callnumber-raw | HG3881 |
| callnumber-search | HG3881 |
| callnumber-sort | HG 43881 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 |
| ctrlnum | (OCoLC)23826795 (DE-599)BVBBV005871711 |
| dewey-full | 332.645 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.645 |
| dewey-search | 332.645 |
| dewey-sort | 3332.645 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01431nam a2200409 c 4500</leader><controlfield tag="001">BV005871711</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">921126s1991 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">185564052X</subfield><subfield code="9">1-85564-052-X</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)23826795</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV005871711</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG3881</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.645</subfield><subfield code="2">20</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 600</subfield><subfield code="0">(DE-625)141666:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Miron, Paul</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Pricing and hedging swaps</subfield><subfield code="c">by Paul Miron and Philip Swannell</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">London</subfield><subfield code="b">Euromoney Publ.</subfield><subfield code="c">1991</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XI, 246 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Euromoney books</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Swaps</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Swaps (Finance)</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Hedging</subfield><subfield code="0">(DE-588)4123357-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Swap</subfield><subfield code="0">(DE-588)4199581-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Swap</subfield><subfield code="0">(DE-588)4199581-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Hedging</subfield><subfield code="0">(DE-588)4123357-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Swannell, Philip</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003675864&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-003675864</subfield></datafield></record></collection> |
| id | DE-604.BV005871711 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:36:05Z |
| institution | BVB |
| isbn | 185564052X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-003675864 |
| oclc_num | 23826795 |
| open_access_boolean | |
| owner | DE-384 DE-11 DE-188 |
| owner_facet | DE-384 DE-11 DE-188 |
| physical | XI, 246 S. graph. Darst. |
| publishDate | 1991 |
| publishDateSearch | 1991 |
| publishDateSort | 1991 |
| publisher | Euromoney Publ. |
| record_format | marc |
| series2 | Euromoney books |
| spelling | Miron, Paul Verfasser aut Pricing and hedging swaps by Paul Miron and Philip Swannell London Euromoney Publ. 1991 XI, 246 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Euromoney books Swaps gtt Swaps (Finance) Hedging (DE-588)4123357-8 gnd rswk-swf Swap (DE-588)4199581-8 gnd rswk-swf Swap (DE-588)4199581-8 s Hedging (DE-588)4123357-8 s DE-604 Swannell, Philip Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003675864&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Miron, Paul Swannell, Philip Pricing and hedging swaps Swaps gtt Swaps (Finance) Hedging (DE-588)4123357-8 gnd Swap (DE-588)4199581-8 gnd |
| subject_GND | (DE-588)4123357-8 (DE-588)4199581-8 |
| title | Pricing and hedging swaps |
| title_auth | Pricing and hedging swaps |
| title_exact_search | Pricing and hedging swaps |
| title_full | Pricing and hedging swaps by Paul Miron and Philip Swannell |
| title_fullStr | Pricing and hedging swaps by Paul Miron and Philip Swannell |
| title_full_unstemmed | Pricing and hedging swaps by Paul Miron and Philip Swannell |
| title_short | Pricing and hedging swaps |
| title_sort | pricing and hedging swaps |
| topic | Swaps gtt Swaps (Finance) Hedging (DE-588)4123357-8 gnd Swap (DE-588)4199581-8 gnd |
| topic_facet | Swaps Swaps (Finance) Hedging Swap |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003675864&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT mironpaul pricingandhedgingswaps AT swannellphilip pricingandhedgingswaps |