Interest rate & currency swaps : the markets, products and applications

목차 (Table of Contents)

• CONTENTS
• List of Exhibits and Tables = ⅸ
• Preface = xv
• Acknowledgments = xvii
• 1 Introduction to Interest-Rate Swaps = 1
• The World Bank/IBM Currency Swap = 5
• Evolution of the Swap Market = 6
• A Simple Interest-Rate Swap Transaction = 11
• Review of the Simple Swap Transaction = 15
• Terminology = 16
• A Road Map = 18
• 2 Applications and Structures = 19
• Examples of Swap Applications = 19
• Swap Structures = 29
• The Standard Interest-Rate Swap = 30
• Off-Market Swap = 31
• Zero-Coupon Swap = 34
• Swap-in-Arrears = 35
• Basis Swap = 35
• Asset Swap-Synthetic Securities = 37
• Forward Swap = 39
• Variable Fixed-Rate Swaps = 41
• Swaps with Variable Notional Amount = 42
• Summary = 46
• 3 Currency Swaps = 47
• A Simple Currency-Swap Transaction = 48
• Review of the Simple Swap Transaction = 51
• Structural Variations = 52
• Standard Currency Swap = 52
• Coupon-Only Swap = 54
• Off-Market Swap = 55
• Zero-Coupon Swap = 57
• Basis Swap = 58
• The Asset Swap-Synthetic Securities = 59
• Forward Swap = 60
• Swaps with Variable Notional Amount = 62
• Summary = 65
• 4 An Approach to Hedging = 67
• Hedging in an Asset/Liability Context = 67
• Measures of Interest-Rate Risk = 70
• Simple Hedging Concepts = 75
• Hedging Cost = 78
• Yield Curve Risk = 81
• Hedging Yield Curve Risk-The Risk Point Method = 87
• Extensions = 91
• Simulation = 92
• Exchange-Rate Risk-Multicurrency Hedging = 92
• Duality in Hedging = 93
• Even an Efficient Market Is Inefficient = 96
• Hedge Timing = 99
• Diversification = 102
• Hidden Factors = 104
• Hedging, Arbitrage, and Speculation = 106
• ALM for Industrial Corporations = 109
• Implementation = 118
• 5 Analyzing a Transaction = 123
• Evaluating a Transaction = 123
• Historical Analysis = 127
• Breakeven Analysis = 130
• Scenario Analysis = 132
• Monte Carlo Simulation = 134
• 6 Pricing and Risk Characteristics = 141
• Participants in the Swap Market = 141
• Swap Pricing Basics = 142
• Forward Rates = 153
• Interest-Rate Risk Characteristics = 164
• Pricing an International Money-Market (IMM) Swap = 167
• Pricing a Short-Dated Swap = 176
• Pricing a Generic Swap-Bootstrapping = 183
• Pricing a Swap Termination = 194
• Pricing a Currency Swap = 195
• Swap Spreads = 208
• Types of Risks in Swaps = 215
• Credit Risk in Swaps = 217
• The BIS Current-Exposure Method = 219
• The BIS Original-Exposure Method = 221
• The Option Approach = 222
• About the Authors = 231