MSF274(11E)

MSF274(11E) - Interest Rate Derivative Contracts#5 Interest...

Info iconThis preview shows pages 1–6. Sign up to view the full content.

View Full Document Right Arrow Icon
Interest Rate Swaps Interest Rate Swaps Interest Rate Interest Rate Derivative Contracts (#5) Derivative Contracts (#5)
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
2 Derivative Contracts Derivative Contracts (2010) Market Exchange Over the Counter Pricing Present Value Option Pricing Purpose Hedge Enhance Margin Earn Bid/Ask Spread
Background image of page 2
3 Over-the-Counter Derivative Contracts Contract Purpose: 2010 Type Contract: 2010
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
0 50 100 150 200 250 300 350 400 450 4 9 19 36 49 68 111 173 357 416 Trillion Interest Rate Swap Market Notional Value of Rate Swaps Very Quick Annual Growth Rate Swap Pricing Fixed-rate based on term and FX of Swap and Floating Index Fixed-rate Priced off given Government yield curve plus Spread Credit Risk Demand for Bid (Floating Pay) versus Asked (Fixed Pay)
Background image of page 4
5 The Interest Rate Swap Broker/Dealer Arrange Swap Earn Bid/Ask Spread Arrange Swap Fixed Pay Position Pay Fixed @ Ask Receive LIBOR Fixed Pay Position Pay Fixed @ Ask Receive LIBOR Floating Pay Position Pay LIBOR Receive Fixed @ Bid Floating Pay Position Pay LIBOR Receive Fixed @ Bid
Background image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 6
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 02/29/2012 for the course FINA 274 taught by Professor Williamhandorf during the Fall '11 term at GWU.

Page1 / 15

MSF274(11E) - Interest Rate Derivative Contracts#5 Interest...

This preview shows document pages 1 - 6. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online