Currency Swaps Fully updated version of text formerly used for training by BPP Diagrammatic representation of deal structures, pricing, and modeling Full glossary of terms International perspective, examples in US$ Clear logical explanation of processes, markets, and products Here is an excellent introduction to equity, commodity, and credit swaps. The text describes the evolution of this financial instrument and the present day importance it has in debt and interest rate risk management. It examines the features of currency swaps and the process by which the counterparties reach agreement. Through practical examples it illustrates the role of banks and explains swaps pricing and the value of a swap. This expansive new range of risk management texts has undergone extensive re-writing to give each book in the series an international perspective. Each explains and analyses core aspects of risk assessment and management in a way invaluable to students and useful to practitioners. All of these titles adopt a practical and clear approach to their subject. All are fully updated versions of a series of books previously produced by training experts at BPP. |
Contents
Features of Currency Swaps | 5 |
Swaps Pricing and the Value of a Swap ཙང | 61 |
Why Use Swaps? | 75 |
Arranging a Swap | 99 |
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Common terms and phrases
$15 million Alpha Bank arrange a swap asset swap Australian dollars bank's basis swap bond issue bond markets borrow 10 million borrow dollars Canadian dollars Client counterparty credit arbitrage credit risk currency exposure currency risk currency swap current spot rate Delta differential swap dollar interest dollar loan eurobond euros example exchange of interest exchange of principal exchange rate far-value fixed sterling forward contract forward rate forward swap FX market Gamma hedge initial exchange interest payments interest rate differential interest rate risk interest rate swap liability swap matching swap maturity near-value date notional principal Omega Bank Pay dollars pay interest payer of fixed principal amount re-exchange of principal receipt receiver of fixed receiving dollar Saxen six-month dollar LIBOR six-monthly sterling against dollar Sterling fixed sterling interest sterling LIBOR sterling/dollar swap agreement swap arrangement swap involves swap rates swap transaction swaps bank swaps market Swiss francs wants to borrow Zetacorp