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| interest rate swap trading strategies: Quantitative Analysis, Derivatives Modeling, And Trading Strategies: In The Presence Of Counterparty Credit Risk For The Fixed-income Market Bin Li, Yi Tang, 2007-01-23 This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors' own research and practice. It is written from the viewpoint of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader to develop intuitions.Among the modeling and the numerical techniques presented are the practical applications of the martingale theories, such as martingale model factory and martingale resampling and interpolation. In addition, the book addresses the counterparty credit risk modeling, pricing, and arbitraging strategies from the perspective of a front office functionality and a revenue center (rather than merely a risk management functionality), which are relatively recent developments and are of increasing importance. It also discusses various trading structuring strategies and touches upon some popular credit/IR/FX hybrid products, such as PRDC, TARN, Snowballs, Snowbears, CCDS, and credit extinguishers.While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, foreign exchange, and commodity markets. |
| interest rate swap trading strategies: Pricing and Trading Interest Rate Derivatives J Hamish M Darbyshire, 2022-08-07 The most professional and industry relatable text currently available for linear interest rate derivatives. Written by a practicing derivatives portfolio manager with over fifteen years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences. The book's focus is interest rate swaps and cross-currency swaps, updated for a risk free rate (RFR, such as SOFR and ESTR) framework as opposed to LIBOR. Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one. This third edition (2022) markedly expands the second edition (2017), by not only providing extensive analysis but also building up a modern codebase, step-by-step, in Python. It constructs and solves interest rate curves and goes on to implement risk and cross-gamma calculations, demonstrating the implementation of automatic differentiation for superior efficiency. Read more at https: //github.com/attack68/book_irds3. The treatment of risk is expansive and thorough. The author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks. Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike. |
| interest rate swap trading strategies: Interest Rate Swaps and Other Derivatives Howard Corb, 2012-08-28 The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively. |
| interest rate swap trading strategies: Interest Rate Swaps and Their Derivatives Amir Sadr, 2009-09-09 An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main rates products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market. Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations. |
| interest rate swap trading strategies: Interest Rate Markets Siddhartha Jha, 2011-02-11 How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models |
| interest rate swap trading strategies: What Determines U.S. Swap Spreads? Ádám Kóbor, Lishan Shi, Ivan Zelenko, World Bank, 2005 References p. 45-47. |
| interest rate swap trading strategies: Trading and Pricing Financial Derivatives Patrick Boyle, Jesse McDougall, 2018-12-17 Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject. |
| interest rate swap trading strategies: International Convergence of Capital Measurement and Capital Standards , 2004 |
| interest rate swap trading strategies: Interest Rate Derivatives Todd James, 2006-01 Written in a straightforward, clearly structured manner with extensive use of worked examples, this easy to use book gives you an explanation of both basic and advanced principles for the valuation of interest rate derivatives and their hedging applications. |
| interest rate swap trading strategies: Quantitative Analysis, Derivatives Modeling, and Trading Strategies Yi Tang, Bin Li, 2007 This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authorsOCO own research and practice. While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, and foreign exchange markets. This book, which assumes that the reader is familiar with the basics of stochastic calculus and derivatives modeling, is written from the point of view of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader develop intuitions. In addition, the book addresses the counterparty credit risk modeling, pricing, and arbitraging strategies, which are relatively recent developments and are of increasing importance. It also discusses various trading structuring strategies and touches upon some popular credit/IR/FX hybrid products, such as PRDC, TARN, Snowballs, Snowbears, CCDS, credit extinguishers. |
| interest rate swap trading strategies: Handbook of Fixed-Income Securities Pietro Veronesi, 2016-04-04 A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape. Well organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature: • An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them • Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks’ influence on interest rates, including the recent quantitative easing experiments • Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints • The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the United States and abroad, and their sources, such as liquidity and volatility • Advanced topics, with a focus on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds • Derivatives markets, including a detailed discussion of the new regulatory landscape after the financial crisis and an introduction to no-arbitrage derivatives pricing • Further topics on derivatives pricing that cover modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints • Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, bonds, derivatives, and financial markets. Pietro Veronesi, PhD, is Roman Family Professor of Finance at the University of Chicago Booth School of Business, where he teaches Masters and PhD-level courses in fixed income, risk management, and asset pricing. Published in leading academic journals and honored by numerous awards, his research focuses on stock and bond valuation, return predictability, bubbles and crashes, and the relation between asset prices and government policies. |
| interest rate swap trading strategies: Pricing and Hedging Interest and Credit Risk Sensitive Instruments Frank Skinner, 2004-10-29 This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD.* Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models* Can be used for self-study - a complete book on the topic, which includes examples with answers |
| interest rate swap trading strategies: Bond Math Donald J. Smith, 2011-07-05 A guide to the theory behind bond math formulas Bond Math explores the ideas and assumptions behind commonly used statistics on risk and return for individual bonds and on fixed income portfolios. But this book is much more than a series of formulas and calculations; the emphasis is on how to think about and use bond math. Author Donald J. Smith, a professor at Boston University and an experienced executive trainer, covers in detail money market rates, periodicity conversions, bond yields to maturity and horizon yields, the implied probability of default, after-tax rates of return, implied forward and spot rates, and duration and convexity. These calculations are used on traditional fixed-rate and zero-coupon bonds, as well as floating-rate notes, inflation-indexed securities, and interest rate swaps. Puts bond math in perspective through discussions of bond portfolios and investment strategies. Critiques the Bloomberg Yield Analysis (YA) page, indicating which numbers provide reliable information for making decisions about bonds, which are meaningless data, and which can be very misleading to investors Filled with thought-provoking insights and practical advice, this book puts the intricacies of bond math into a clear and logical order. |
| interest rate swap trading strategies: Mastering Swaps Markets Alan McDougall, 1999 Swaps are capital market instruments and are often used in conjunction with a borrowing or an investment. This book will be the most up-to-date practical primer in the professional markets, focusing on the techniques essential for success. |
| interest rate swap trading strategies: Pricing and Hedging Swaps Paul Miron, Philip Swannell, 1991 Provides traders and those new to the market with a detailed course in swap theory, covering modern techniques and exploring their implications for risk management. |
| interest rate swap trading strategies: Modern Pricing of Interest-Rate Derivatives Riccardo Rebonato, 2012-01-16 In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance. |
| interest rate swap trading strategies: Managing Interest Rate Risk John J. Stephens, 2002-03-12 This book tackles the subject of interest rate risk, a matter of key importance to all businesses, whether borrowing, investing, saving or trading. |
| interest rate swap trading strategies: Fixed Income Relative Value Analysis Doug Huggins, Christian Schaller, 2013-05-20 As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income Relative Value Analysis, Doug Huggins and Christian Schaller address this gap with a set of analytic tools for assessing value in the markets for government bonds, interest rate swaps, and related basis swaps, as well as associated futures and options. Taking a practitioner’s point of view, the book presents the theory behind market analysis in connection with tools for finding and expressing trade ideas. The extensive use of actual market examples illustrates the ways these analytic tools can be applied in practice. The book covers: Statistical models for quantitative market analysis, in particular mean reversion models and principal component analysis. An in-depth approach to understanding swap spreads in theory and in practice. A comprehensive discussion of the various basis swaps and their combinations. The incorporation of credit default swaps in yield curve analysis. A classification of option trades, with appropriate analysis tools for each category. Fitted curve techniques for identifying relative value among different bonds. A multi-factor delivery option model for bond future contracts. Fixed Income Relative Value Analysis provides an insightful presentation of the relevant statistical and financial theories, a detailed set of statistical and financial tools derived from these theories, and a multitude of actual trades resulting from the application of these tools to the fixed income markets. As such, it’s an indispensable guide for relative value analysts, relative value traders, and portfolio managers for whom security selection and hedging are part of the investment process. |
| interest rate swap trading strategies: The Eurodollar Futures and Options Handbook Galen Burghardt, 2003-07-14 Eurodollar trading volume is exploding, with no end in sight tools phenomenal growth. The Eurodollar Futures and Options Handbook provides traders and investors with the complete range of current research on Eurodollar futures and options, now the most widely traded money market contracts in the world. The only current book on this widely-followed topic, it features chapters written by Eurodollar experts from JP Morgan, Mellon Capital, Merrill Lynch, and other global trading giants, and will quickly become a required reference for all Eurodollar F&O traders and investors. |
| interest rate swap trading strategies: Filling in the Blanks Kartik Anand, The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. This paper proposes an efficient alternative that combines information-theoretic arguments with economic incentives to produce more realistic interbank networks that preserve important characteristics of the original interbank market. The method loads the most probable links with the largest exposures consistent with the total lending and borrowing of each bank, yielding networks with minimum density. When used in a stress-testing context, the minimum density solution overestimates contagion, whereas maximum entropy underestimates it. Using the two benchmarks side by side defines a useful range that bounds the cost of systemic stress present in the true interbank network when counterparty exposures are unknown. |
| interest rate swap trading strategies: Trading the Fixed Income, Inflation and Credit Markets Neil C. Schofield, Troy Bowler, 2011-10-03 Trading the Fixed Income, Inflation and Credit Markets is a comprehensive guide to the most popular strategies that are used in the wholesale financial markets, answering the question: what is the optimal way to express a view on expected market movements? This relatively unique approach to relative value highlights the pricing links between the different products and how these relationships can be used as the basis for a number of trading strategies. The book begins by looking at the main derivative products and their pricing interrelationships. It shows that within any asset class there are mathematical relationships that tie together four key building blocks: cash products, forwards/futures, swaps and options. The nature of these interrelationships means that there may be a variety of different ways in which a particular strategy can be expressed. It then moves on to relative value within a fixed income context and looks at strategies that build on the pricing relationships between products as well as those that focus on how to identify the optimal way to express a view on the movement of the yield curve. It concludes by taking the main themes of relative value and showing how they can be applied within other asset classes. Although the main focus is fixed income the book does cover multiple asset classes including credit and inflation. Written from a practitioner's perspective, the book illustrates how the products are used by including many worked examples and a number of screenshots to ensure that the content is as practical and applied as possible. |
| interest rate swap trading strategies: FX Swaps Ms.Li L. Ong, Ms.Bergljot Barkbu, 2010-03-01 The proliferation of foreign exchange (FX) swaps as a source of funding and as a hedging tool has focused attention on the role of the FX swap market in the recent crisis. The turbulence in international money markets spilled over into the FX swap market in the second-half of 2007 and into 2008, giving rise to concerns over the ability of banks to roll over their funding requirements and manage their liquidity risk. The turmoil also raised questions about banks' ability to continue their supply of credit to the local economy, as well as the external financing gap it could create. In this paper, we examine the channels through which FX swap transactions could affect a country's financial and economic stability, and highlight the strategies central banks can employ to mitigate market pressures. While not offering any judgment on the instrument itself, we show that the use of FX swaps for funding and hedging purposes is not infallible, especially during periods of market stress. |
| interest rate swap trading strategies: Fair Value Measurements International Accounting Standards Board, 2006 |
| interest rate swap trading strategies: STIR Futures Stephen Aikin, 2012-11-16 Short term interest rate futures (STIR futures) are one of the largest financial markets in the world. The two main contracts, the Eurodollar and Euribor, regularly trade in excess of one trillion dollars and euros of US and European interest rates each day. STIR futures are also unique because their structure encourages spread and strategy trading, offering a risk reward profile incomparable to other financial markets. STIR futures are traded on a completely electronic market place that provides a level playing field, meaning that the individual can compete on exactly the same terms as banks and institutions. The sheer number of trading permutations allows traders to find their own niche. 'STIR Futures' is a handbook to the STIR futures markets, clearly explaining what they are, how they can be traded, and where the profit opportunities are. The book has been written for aspiring traders and also for experienced traders looking for new markets. This book offers a unique look at a significant but often overlooked financial instrument. By focusing exclusively on this market, the author provides a comprehensive guide to trading STIR futures. He covers key points such as how STIR futures are priced, the need to understand what is driving the markets and causing the price action, and provides in-depth detail and trading examples of the intra-contract spread market and cross-market trading opportunities of trading STIR futures against other financial products. An essential read for anyone involved in this market. |
| interest rate swap trading strategies: Fixed Income Securities Pietro Veronesi, 2010-01-12 The deep understanding of the forces that affect the valuation, risk and return of fixed income securities and their derivatives has never been so important. As the world of fixed income securities becomes more complex, anybody who studies fixed income securities must be exposed more directly to this complexity. This book provides a thorough discussion of these complex securities, the forces affecting their prices, their risks, and of the appropriate risk management practices. Fixed Income Securities, however, provides a methodology, and not a shopping list. It provides instead examples and methodologies that can be applied quite universally, once the basic concepts have been understood. |
| interest rate swap trading strategies: Advanced Interest Rate and Currency Swaps Ravi E. Dattatreya, Kensuke Hotta, 1994 This book analyzes and integrates the latest developments in this rapidly changing fields. Chapters by financial officers at major corporations such as Rolls Royce, PepsiCo, United Technology and Siemens Electronics further enhance the value of this truly unique book. Topics include: New products, such as indexed and cross-rate swaps; Managing swap credit risk; Liability hedging using swaps; Risk management at major corporations; Financial risk management for developing countries. |
| interest rate swap trading strategies: Fixed Income Securities Bruce Tuckman, Angel Serrat, 2011-10-13 Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates. |
| interest rate swap trading strategies: Bond and Money Markets: Strategy, Trading, Analysis Moorad Choudhry, 2001-05-03 Bond and Money Markets: Strategy, Trading, Analysis explains and analyses all aspects of the bond and money markets and is both an introduction for newcomers and an advanced text for experienced market practitioners and graduate students. Those with experience of the industry at all levels will find the book invaluable as a standard reference work.The book features coverage of: - Government and Corporate bonds, Eurobonds, callable bonds, convertibles - Asset-backed bonds including mortgages and CDOs - Derivative instruments including bond futures, swaps, options, structured products, and option valuation models - Interest-rate risk, duration analysis, convexity, and the convexity bias - The money markets, repo markets, basis trading, and asset / liability management - Term structure models, estimating and interpreting the yield curve - Portfolio management, including total return framework, portfolio strategies, and constructing bond indices and valuable insight into: - Trading and hedging strategy - Charting and technical analysis - The latest market developments, such as value-at-risk, and credit derivatives - Emerging markets and the benefits of international investment The Bond and Money Markets: Strategy, Trading, Analysis is aimed at a wide readership including bond salespersons, traders, corporate financiers and graduate trainees, as well as risk managers, operations professionals and business analysts. Other market participants including fund managers, corporate treasurers, management consultants, regulators and financial journalists will also find the content useful. - This book is virtually a stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis - Includes some introductory coverage of very specialised topics (for which one requires specialised texts) such as VaR, Asset & liability management, credit derivatives - Combines accessible style with advanced level topics, plus review of latest research |
| interest rate swap trading strategies: The Term Structure of Interest Rates David Meiselman, 1962 |
| interest rate swap trading strategies: The Rise of Carry: The Dangerous Consequences of Volatility Suppression and the New Financial Order of Decaying Growth and Recurring Crisis Tim Lee, Jamie Lee, Kevin Coldiron, 2019-12-13 Protect yourself from the next financial meltdown with this game-changing primer on financial markets, the economy—and the meteoric rise of carry. The financial shelves are filled with books that explain how popular carry trading has become in recent years. But none has revealed just how significant a role it plays in the global economy—until now. A groundbreaking book sure to leave its mark in the canon of investing literature, The Rise of Carry explains how carry trading has virtually shaped the global economic picture—one of decaying economic growth, recurring crises, wealth disparity, and, in too many places, social and political upheaval. The authors explain how carry trades work—particularly in the currency and stock markets—and provide a compelling case for how carry trades have come to dominate the entire global business cycle. They provide thorough analyses of critical but often overlooked topics and issues, including: •The active role stock prices play in causing recessions—as opposed to the common belief that recessions cause price crashes •The real driving force behind financial asset prices •The ways that carry, volatility selling, leverage, liquidity, and profitability affect the business cycle •How positive returns to carry over time are related to market volatility—and how central bank policies have supercharged these returns Simply put, carry trading is now the primary determinant of the global business cycle—a pattern of long, steady but unspectacular expansions punctuated by catastrophic crises. The Rise of Carry provides foundational knowledge and expert insights you need to protect yourself from what have come to be common market upheavals—as well as the next major crisis. |
| interest rate swap trading strategies: Treasury Bond Basis 3e (Pb) Galen Burghardt, 2023-03-31 Now in its third edition, The Treasury Bond Basis is the mandatory reference text for Treasury bond and note futures trading rooms around the world. This updated edition reflects the numerous market changes, chief among them the Chicago Board of Trade's decision to switch from an 8 percent to a 6 percent conversion factor. Revisions include greater detail on hedging and trading, updated explanations of options valuation and short delivery options, and discussion of global bonds futures trading and applications. |
| interest rate swap trading strategies: The Risk of Economic Crisis Martin Feldstein, National Bureau of Economic Research, 1991-08-13 Based on a special National Bureau of Economic Research conference held in Oct. 1989. Includes bibliographical references and indexes. |
| interest rate swap trading strategies: Trading Volatility Colin Bennett, 2014-08-17 This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read! Carole Bernard, Equity Derivatives Specialist at Bloomberg This book could be seen as the 'volatility bible'! Markus-Alexander Flesch, Head of Sales & Marketing at Eurex I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money Paul Stephens, Head of Institutional Marketing at CBOE One of the best resources out there for the volatility community Paul Britton, CEO and Founder of Capstone Investment Advisors Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject Edmund Shing PhD, former Proprietary Trader at BNP Paribas In a crowded space, Colin has supplied a useful and concise guide Gary Delany, Director Europe at the Options Industry Council |
| interest rate swap trading strategies: Understanding Swaps John F. Marshall, Kenneth R. Kapner, 1993-12-16 From plain vanilla swaps to swaptions to circus swaps here s themost comprehensive, practical introduction to the global world ofswaps Understanding Swaps Financial personnel, corporate treasurersand professional cash managers seeking a practical, hands-onintroduction to swaps sophisticated financial instruments usedglobally to control interest payments, manage debt, and enhanceinvestment portfolios need look no further than UnderstandingSwaps. Jack Marshall and Ken Kapner have done a superb job of providing acomplete, easy-to-read primer to derivative products. Using clearlanguage and concise examples, it lays out the world of swaps forthe practitioner, student, accountant, lawyer or regulator. RobertJ. Schwartz EUP and Chief Operating Officer Mitsubishi CapitalMarkets, Inc. Marshall and Kapner have produced an exceptionally cogentdescription and analysis of the swaps market along with itsessential technical and theoretical underpinnings. This book shouldbe number one on the reading list for any student or practitionerof contemporary financial techniques. J. Michael Payte SeniorManaging Director Bear Sterns & Co., Inc. Understanding Swaps details the complete world of swaps: thebasics (interest rate and currency swaps), the vogue (equity andcommodity swaps), and the future (macroeconomic swaps). Indeed,Understanding Swaps is the book I would recommend to someone for acomprehensive and very readable primer on swaps. Carolyn JacksonFirst Vice President Banque Indosuez |
| interest rate swap trading strategies: Hedge Fund Alpha John M. Longo, 2009 Hedge funds are perhaps the hottest topic in finance today, but little material of substance to date has been written on the topic. Most books focus on how to set up a hedge fund and the basic strategies, while few to none focus on what matters most: generating and understanding investment performance. This book takes an exclusive look at the latter, including an analysis of the areas that are most likely to generate strong investment returns OCo namely, the emerging markets of Brazil, Russia, India and China. The book will be invaluable to not only financial professionals, but anyone interested in learning about hedge funds and their future. |
| interest rate swap trading strategies: Market Liquidity Thierry Foucault, Marco Pagano, Ailsa Röell, 2023 The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as market microstructure. Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values-- |
| interest rate swap trading strategies: Derivatives Essentials Aron Gottesman, 2016-06-28 A clear, practical guide to working effectively with derivative securities products Derivatives Essentials is an accessible, yet detailed guide to derivative securities. With an emphasis on mechanisms over formulas, this book promotes a greater understanding of the topic in a straightforward manner, using plain-English explanations. Mathematics are included, but the focus is on comprehension and the issues that matter most to practitioners—including the rights and obligations, terms and conventions, opportunities and exposures, trading, motivation, sensitivities, pricing, and valuation of each product. Coverage includes forwards, futures, options, swaps, and related products and trading strategies, with practical examples that demonstrate each concept in action. The companion website provides Excel files that illustrate pricing, valuation, sensitivities, and strategies discussed in the book, and practice and assessment questions for each chapter allow you to reinforce your learning and gauge the depth of your understanding. Derivative securities are a complex topic with many moving parts, but practitioners must possess a full working knowledge of these products to use them effectively. This book promotes a truly internalized understanding rather than rote memorization or strict quantitation, with clear explanations and true-to-life examples. Understand the concepts behind derivative securities Delve into the nature, pricing, and offset of sensitivities Learn how different products are priced and valued Examine trading strategies and practical examples for each product Pricing and valuation is important, but understanding the fundamental nature of each product is critical—it gives you the power to wield them more effectively, and exploit their natural behaviors to achieve both short- and long-term market goals. Derivatives Essentials provides the clarity and practical perspective you need to master the effective use of derivative securities products. |
| interest rate swap trading strategies: Interest Rate Modeling Leif B. G. Andersen, Vladimir V. Piterbarg, 2010 The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods.--Preface. |
| interest rate swap trading strategies: Introduction to Derivatives R. Stafford Johnson, 2009-01-01 Introduction to Derivatives: Options, Futures, and Swaps offers a comprehensive coverage of derivatives. The text covers a broad range of topics, including basic and advanced option and futures strategies, the binomial option pricing model, the Black-Scholes-Merton model, exotic options, binomial interest rate trees, dynamic portfolio insurance, the management of equity, currency, and fixed-income positions with derivatives, interest rate, currency, and credit default swaps, embedded options, and asset-backed securities and their derivatives. With over 300 end-of-chapter problems and web exercises, an appendix explaining Bloomberg derivative information and functions, and an accompanying software derivatives program, this book has a strong pedagogical content that will take students from a fundamental to an advanced understanding of derivatives. |
| interest rate swap trading strategies: 17 Proven Currency Trading Strategies, + Website Mario Singh, 2013-02-11 A comprehensive guide to Forex trading for individual investors Countless money-making opportunities abound in the Foreign Exchange (Forex) market every day, but how does an amateur investor take advantage of these opportunities to earn high returns? This book by CNBC-featured Forex Expert Mario Singh provides a comprehensive solution to this question. Following the first section that explains in plain English—what is Forex trading, how money is made in the Forex game, the six major players involved, and the importance of knowing one's Trader Profile—the second section focuses on specific and practical guidance which includes: A Trader Profile Test to help the reader get a clear picture of his natural trading style and which of five trading profiles he belongs to (Scalper, Day Trader, Swing Trader, Position Trader or Mechanical Trader) 17 proven trading strategies (between 2 to 5 strategies for each trader profile) for the reader to immediately start cashing in on the Forex market Descriptions of an array of real-world trading scenarios, with tips on how to address them A section that shows the reader how to custom-tailor a trading system designed for his sensibilities and risk tolerance Forex hedging strategies for finance professionals at multinational corporations Short on theory and long on practical insights and step-by-step guidance, 17 Proven Currency Trading Strategies—How To Profit in the Forex Market will help anyone—from beginners to professionals, and everyone in between—to master the Forex market and be consistently profitable. |
A Primer on Interest Rate Markets and Relative Value Part 3: Swaps
A Primer on Interest Rate Markets and Relative Value – Part 3: Swaps Interest rate swaps are one of the largest and most liquid derivative markets. Swaps provide highly flexible solutions to manage risk, speculate on the direction of interest rates and implement relative value (RV) …
Trading the Yield Curve with Interest Rate Derivatives
Attending the course will help you: Understand factors driving the yield curve and trading the yield curve. Look at trading the yield curve and managing interest rate risk with bond futures. Learn …
Deliverable Swap IRS Futures: Swap Rate Curve - CME Group
2‐Year, 5‐Year, 10‐Year, and 30‐Year Deliverable Interest Rate Swap futures (Deliverable Swap Futures, or “DSFs”) provide capital‐efficient tools for market participants to implement their …
Interest Rate Swap Trading Strategies Full PDF
Interest Rate Swap Trading Strategies books and manuals for download is the cost-saving aspect. Traditional books and manuals can be costly, especially if you need to purchase several of …
Marked-to-Market Interest Rate Swaps: A Solution to the Interest …
This paper uses the conventional interest rate swap contract-a con tract between two parties to exchange a fixed payment stream for a float ing payment stream without an exchange of …
Interest Rate Swaps - New York University
An interest rate swap commits two counterparties to exchange, over an agreed period, two streams of coupon payments, each calculated using a different interest rate index, but applied …
Interest Rate Swaps - Chatham Financial
Today is the third of three sessions on interest rate swaps, where we’ll cover pricing, legal documentation (ISDA Agreements), and prepayment &structuring/strategy. Today’s training …
Do Banks Hedge Using Interest Rate Swaps? - Commodity Futures …
These large losses raise the question of whether banks use interest rate swaps (“swaps”) to hedge their holdings of securities and loans. Because swap values are themselves subject to …
The Mechanics of the Swap Spread Trade - Wiley Online Library
LTCM constructed many strategies to trade swap interest rate spreads over government security interest rates. The firm implemented these within coun-tries, across countries, and across …
A Primer on Interest Rate Markets and Relative Value Part 1: Yield ...
1) Introduction to the concept of a yield curve and the three major sources of interest rate risk and return. 2) Practical considerations for investors implementing yield curve strategies, including …
Working Paper Series - European Central Bank
This paper studies market liquidity in interest rate swaps (IRS) before and during the global tightening of monetary policy. IRS constitute the single largest derivatives segment globally. …
Trading the Swap Spread - CME Group
But until the introduction of CBOT Deliverable Swap Futures (DSFs), it was difficult to construct a credit spread using interest rate futures contracts. This article examines the “swap spread” …
Total Cost Analysis of Interest-Rate Swaps vs. Futures - CME Group
Cost Analysis of Interest-Rate Swaps vs. Futures StudyStudy participants provided average bid-ask spreads for various cleared-swap trades, the frequency at which they execute futures at …
The market for sharing interest rate risk: quantities and asset prices
Our paper provides a quantity-based explanation for empirically observed asset prices in the interest rate derivatives market. Key words: Interest rate risk, OTC derivatives, hedge funds, …
Do Banks Hedge Using Interest Rate Swaps? - New York University
We ask whether banks use interest rate swaps to hedge the interest rate risk of their assets, primarily loans and securities. To this end, we use regulatory data on individ-ual swap …
Trading strategies with implied forward credit default swap …
interest rate swaps by resetting the premium every period in line with a reference rate. Upon default, the CDS and CMCDS contracts will offer buyers the same payoff protection. The …
Time Series Prediction of US Swap Rates - Stanford University
Abstract. In this project machine learning techniques were used to generate technical trading strategies in the US interest rate swap markets. Leela, a correlation algorithm that is closely …
Hedging with a portfolio of Interest Rate Swaps
Interest Rate Swaps (IRS) appear to be instruments largely used by market participants (companies, local governments, financial institutions, traders, . . .) for many purposes including …
Yield Curve Shifts Create Trading Opportunities - CME Group
The first task in designing a yield curve trade is to decide how you expect the Treasury yield curve to react to interest rate developments during the term of the trade. In general, when yields are …
Do Banks Hedge Using Interest Rate Swaps? - New York University
We analyze whether banks use interest rate swaps to hedge the interest rate risk of their assets, primarily loans and securities. By examining regulatory data on individual swap positions from …
Nomura Interest Rate Swaps Momentum+ Index (Duration 1 & 5)
The Nomura Interest Rate Receiver Swap Indices suite is a family of indices (each an “Index”) that track the ... Index Trading Business Day Any Local 1, Local2 3 and Local 4 Business Day. Local k Business Day Prior to the BD Modification Date Means the local calendar for currency k:
Interest Rate Swap Market Complexity and Its Risk Management …
Research Article Interest Rate Swap Market Complexity and Its Risk Management Implications Steve Y. Yang 1 and Esen Onur2 1School of Business, Stevens Institute of Technology, 1 Castle Point on Hudson, Hoboken, NJ 03070, USA 2Office of Chief Economist, Commodity Futures Trading Commission, 1551 Lafayette Center, Washington, DC 20581, USA Correspondence …
Interest rate swaps - electronic trading and the new regulatory …
interest rate swaps to be achieved without damaging important buy-side and sell-side trade relationships. These relationships provide benefits in a range of functions, not just provision of credit, and contribute to a more efficient market. The MTS solution MTS, Europe’s premier fixed income trading venue, is set to launch MTS Swaps, a new
The Role of Interest Rate Swaps in Corporate Finance
An interest rate swap is a contractual agreement between two parties to exchange a series of interest rate payments without exchanging the ... trading in interest rate swaps should die out over time as arbitrage opportunities disappear—a prediction that is at odds with actual experience.
Do Banks Hedge Using Interest Rate Swaps? - Commodity Futures Trading …
10 Apr 2023 · We also analyze the interest rate risk of swap positions for the banking system as a whole, proxied by that of the largest 250 banks. Aggregate DV01 is $585 million, or 0.038% of ... Note that data from the Commodity Futures Trading Commission for Q1 2023 show that swap-dealer banks have positive DV01, non-swap-dealer banks have negative DV01 ...
Centralized Trading, Transparency and Interest Rate Swap …
Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act Evangelos Benos 1, Richard Payney2, and Michalis Vasios 1 1Bank of England 2Cass Business School, City University London Abstract We use proprietary transaction data on interest rate swaps to assess the
Decentralized Counterparty Matches and Automatic Settlement of Interest …
The whole trading process of interest rate swap is carried out on the blockchain, which has higher security. A prototype based on smart contracts running on Ethereum is implemented and validates our design. Keywords: Ethereum · Smart contract · Interest rate swap · DeFi
Interest Rate Swaps - New York University
Interest Rate Swap Contract • An interest rate swap commits two counterparties to exchange, over an agreed period, two streams of coupon payments, each calculated using a different interest rate index, but applied to a common notional principal amount. • A plain vanilla fixed-for-floating swap involves the
Mastering Swap Markets - Informa Connect
• Mechanics of a par asset swap • Cashflows of a typical par asset swap • Credit considerations • Asset swap on a discount bond • Asset swap on a premium bond • Interest rate risk of an asset swap • PV01 sensitivities • Cashflow matching risk • Swap rate and LIBOR spread sensitivity • Market asset swap • Variations on ...
Interest Rate Risk Management in Uncertain Times - Society of …
rate uncertainty, for short. Interest rate uncertainty, in contrast to many other manifestations of un-certainty, can readily be hedged in the nancial derivatives market, for example, through interest rate swaps. Daily trading volume in interest rate swaps { $2.7 trillion as of December 2016 { …
Interest Rate Swaps - Chatham Financial
Interest Rate Swap 1.50% loan spread LIBOR cancels 1.00% swap rate 1.50% loan spread 2.50% all-in rate LIBOR mismatch 1.00% swap rate 0.15% LIBOR mismatch ... •Price multiple, suitable strategies: caps, vanilla swaps, and cancellable swaps …
General principles on interest rate risk management for the ... - IFRS
• Trading book vs Banking book: as for the management of interest rate risk, the trading book exposure is usually treated separately from the one arising from the banking book. • IRR management activity relates to the “pure” interest rate component of …
LASH risk and interest rates - Bank of England
are variety of strategies available to hedge this solvency risk. For example, the fund can use an interest rate swap, which pays out when rates fall. However, this hedging strategy exposes the fund to liquidity risk when rates rise, because the value of the swap falls and the fund must pay margin to their counterparty (Biais, Heider and Hoerova ...
Relative Value Analysis: Bond Spreads - Wiley Online Library
2 Aug 2019 · An asset swap is a package that combines an interest-rate swap with a cash bond, the effect of the combined package being to transform the interest-rate basis of the bond. Typically, a fixed-rate bond will be combined with an interest-rate swap in which the bond holder pays fixed coupon and receives floating coupon. The floating
Examining IRD Trading Activity in Response to Rising Interest …
significant growth in interest rate derivatives (IRD) trading activity. This appears to have been driven by the need to manage risk, protect against adverse rate movements and optimize borrowing or investment strategies. While total IRD trading activity has surged, the composition of over-the-counter (OTC) IRD products has undergone substantial
151 Trading Strategies - Forex Factory
151 Trading Strategies Zura Kakushadzexy1 and Juan Andr es Serur]2 xQuantigicr Solutions LLC 1127 High Ridge Road #135, Stamford, CT 06905 3 yFree University of Tbilisi, Business School & School of Physics 240, David Agmashenebeli Alley, Tbilisi, 0159, Georgia] Universidad del CEMA Av. C ordoba 374, C1054AAP, Ciudad de Buenos Aires, Argentina
Structural hedge - Barclays
28 Nov 2023 · The banking book has inherent interest rate risk Balance sheet consists of a trading book and banking book. Trading book assets. Trading book liabilities. Banking book assets •Loans & advances Banking book liabilities ... The business executes an interest rate swap with Barclays Treasury 2. The floating rates net off, resulting in a fixed ...
A NEW WAY TO COMBAT INTEREST RATE RISK - iShares by …
interest rate swap contracts Efficient Access-Structured as fund -of ... credit, or trading transaction may not fulfill its part of the deal and may default on the contractual obligations. 3. Reference rate: ... strategies have the potential for heightened volatility …
FOURTH IN A SERIES Interest Rate Swap-Based Hedging Strategies …
November 30, 2008—The use of interest rate swaps 1 as part of a strategy to hedge the interest rate risk embedded in a pension plan’s liability structure raises a number of issues, including the
Developing an FX Trading Strategy - Interactive Brokers
to create the value the options trading underlying value. Therefore one “pip” would equate to .01 • The exception to the four decimal points is the Japanese yen which is normally traded to two decimal points. – Using ISE FX Options, when trading US dollar/yen, the exchange rate is multiplied by 1 to create the options trading underlying ...
PONDICHERRY UNIVERSITY
2.3 Options Trading Strategies 98 2.4 Interest rate swaps 155 2.5 Currency Swaps 171 III 3.1 Futures Market 206 3.2 Pricing of Futures 223 3.3 Theories of Futures Prices 234 IV 4.1 Hedging Strategy Using Futures 266 4.2 Basis Risk and Hedging 280 4.3 Stock Index 289 V 5.1 Financial Derivatives Markets in India 319 5.2 Benefits of Derivatives in ...
Interest Rate Swaps – An Exposure Analysis - Society of Actuaries …
Sallie Mae was one of the rst institutions to use interest rate swaps1 in the early 1980’s with the goal of reducing the duration of its liabilities. Since then, there have been many examples of interest rate swap deals which have not produced the desired results for the end-user, largely due to unanticipated interest rate movements.
USD CCP Basis - CME Group
9 Nov 2015 · Table 1: Swap market observations and risk metrics for key benchmark tenors DATA SET START: NOV 9, 2015 END: MAY 28, 2021 2-YEAR 5-YEAR 10-YEAR SWAP RATE INVOICE SPREAD CCP BASIS SWAP RATE INVOICE SPREAD CCP BASIS SWAP RATE INVOICE SPREAD CCP BASIS LATEST OBSERVATION (BPS) 22.9 10.8 0.2 88.3 8.5 1.2 …
TRADITION (UK) LIMITED TRAD-X TRADING PLATFORM
13 Dec 2017 · commercial in confidence tradition (uk) limited trad-x trading platform rulebook (mifid 2) v.2.0 13-december-2017 effective date: 03 january 2018
Do Banks Hedge Using Interest Rate Swaps? - New York University
collected from the Commodity Futures Trading Commission (CFTC). Our analysis focuses on the positions of the largest 250 U.S. commercial banks, which amount to more than 8 ... For example, the notional amount of a fixed-for-floating interest rate swap is the dollar amount used to calculate the interest rate payments required by the contract ...
A complete solution built to fit your trading strategies
EM Interest Rate Swaps A complete solution built to fit your trading strategies Since 2005, Tradeweb has been bringing greater transparency to the swaps marketplace, helping to reduce risk and create more competitive and efficient markets. We were the first to automate online multi-dealer-to-client trading for derivatives and continue
An Empirical Analysis for Determinants of Interest Rate Swap …
The majority of this trading (USD 147.4 trillion) was interest rate swaps (Bank for International Settlement, 2005). ... interest rate swap market is to equal the present values of the cash flows arising from the fixed-rate side and the floating-rate side. …
FUNDAMENTALS OF FUTURES AND OPTIONS - CFA Institute
Option Characteristics and Strategies: Risk and Return ..... 45 Option Characteristics ... Measuring Interest Rate Risk..... 123 Exercises ..... 131 Futures Pricing ... the remarkable increase in the trading volume and the number of different products traded. Although many of these gains have recently moderated,
Swaps made simple - Institute and Faculty of Actuaries
using ‘risky’ strategies - even though the strategies can actually reduce risk within funds. ... The two counterparties to an interest-rate swap enter into an agreement to exchange interest payments, over a period of time, on a specified underlying notional amount. Typically, one party (in this instance Counterparty A, the Investment Bank ...
Interest Rate Hedging in a Volatile Market - BDO USA
into a pay fixed/receive floating interest rate swap to “fix” the interest rate (effectively creating a synthetic fixed rate debt instrument) is an example of a “cash flow hedge.”2 Alternatively, a transaction in which a company issues fixed rate debt and enters into a pay floating/receive fixed interest rate swap
LESSONS FROM THE COLLAPSE OF HEDGE FUND, LONG-TERM CAPITAL MANAGEMENT
The danger of over-generous extension of trading credit 6. The woes of investing in star quality 7. And investing too little in game theory. ... interest-rate swap market, betting that the spread between swap rates and the most ... its strategies, the losses to date and the intention to reduce risk". But LTCM
Interest Rate Swaps Compression: A Progress Report
conducted in the interest rate swap (IRS) market. Compression enables swap dealers with substantial two-way (pay and receive) swap activity to terminate substantial amounts of swap ... are effectively contained in a single trading unit for the purposes of clearing and compression. This has several advantages. First, participation needs to be ...
INTEREST RATE DERIVATIVE CONVENTIONS - NZFMA
An overnight index swap (OIS) is a fixed for floating interest rate swap having a term of usually between one week and two years. The floating rate period is tied to the RBNZ’s Official Cash Rate (OCR) located on ... (Minimum market parcels sizes do not restrict trading in smaller volumes, however smaller volumes should
Market Insights - Cross currency basis swaps - Frontier Advisors
Interest payments over the life of the swap Yes. The interest exchanges during the life of the swap can be MTM (mark to market) or non-MTM. MTM is when the interest payment exchanges are at the current spot rate and non-MTM is when the interest payment exchanges are at the FX spot rate when the trade was originated which can create additional FX
Yield Curve Arbitrage In The USD Interest Rate Swap Market: …
the USD interest rate swap market in 2012-2021. However, my results are inconsistent and incon-clusive. My results are likely due to the problems in my methodology and due to my difficult study period in the 2010s when USD rate markets were extraordinary. Keywords interest rate swap, yield curve, arbitrage, short rate model
An Updated User’s Guide to SOFR - Federal Reserve Bank of New …
republished at approximately 2:30 p.m. ET. Rate revisions will only be effected on the same day as initial publication and will only be republished if the change in the rate exceeds one basis point. To date, there have been no rate republications for SOFR, but if at any time a rate is revised, a footnote would indicate the revision. 5. 4
What’s going on with gilts and swaps? Lawrence Phillips - ACA
Interest rate swaps Requires collateralisation Compliance with regulations, such as EMIR Trading costs are higher than gilts Overall, swaps are more flexible Scheme Bank Pay a floating rate, such as 6-month Libor over X years, on a given notional amount Receives a fixed rate (the “swap rate”) over X years, on the same notional amount
1 Interest Rate Swaps - SJTU
2 Using Interest Rate Swaps As discussed earlier, interest rate swaps are vehicles for duration. We enter into an interest rate swap as a receiver to buy duration, and as a payer to sell duration. To emphasize on this point, let’s look at a specific example. • Negative Convexity of MBS: Because of the prepayment options given to home-
Overview of ESG-related Derivatives Products and Transactions
designed to hedge the interest rate risk of SBM’s $1 billion five-year floating rate revolving credit facility. SBM pays a fixed rate on the swap and receives a floating rate5. The SID adds a positive or negative spread to the fixed rate set at the inception of the swap based on SBM’s environmental, social and
Disclosure Annex for Interest Rate Transactions - Global Markets
example, a reference rate may be specified by referring to a particular trading screen of a financial information provider or to a government publication, such as Federal Reserve ... in its simplest form an interest rate swap is a transaction where one party agrees to make periodic payments to the other party of amounts accrued at one reference ...
Guidelines on the management of interest rate risk arising from …
GUIDELINES ON THE MANAGEMENT OF INTEREST RATE RISK ARISING FROM NON-TRADING BOOK ACTIVITIES 2 Abbreviations ALCO asset and liability management committee ALM asset and liability management BCBS Basel Committee on Banking Supervision BSG Banking Stakeholder Group CET1 Common Equity Tier 1 CSRBB credit spread risk from non …
STAFF PAPER April 2021 Dynamic Risk Management (DRM) - IFRS
Dynamic Risk Management │ Interest rate risk management strategies —Information from outreach Page 2 of 13. 2. Key messages in this paper . 4. The key information in this paper can be summarised as follows: (a) There are diverse interest rate risk management strategies, processes, and techniques applied by participants to manage interest ...
Swaption pricing and isolating volatility exposure - DiVA
The yield is de ned as the unique constant interest rate r y that has the same e ect as B(t;T) under continuous compounding, e ry(T t) = B(t;T) (2.4) Let us also denote the rate between time t 1 and t 2 (the rate at which we can borrow money between time t 1 and t 2) by r(t 1;t 2). By convention we express rates as annualized rates. So if, for ...
Currency Hedging: A Practical Tool in Global Investing
of the spot rate and reflects the hedging cost. The cost of carry can be either positive or negative and is a function of two factors: interest rate differential and cross-currency basis. Short-term interest rate differential is the difference between short-term rates in domestic and foreign countries. When investors wish to hedge for
Volatility Strategies - Ardea Investment Management
- ‘Long volatility’ (i.e. option buying) strategies offer a compelling way to profit from interest rate volatility, without having to rely on predicting the direction of rate movements. - These strategies can be implemented in a favourable asymmetric way (i.e. small downside vs. disproportionally large upside) using interest rate options.
Citi Interest Rate Swap Market Tracker Constant Notional Indices
15 Mar 2023 · Citi Investment Strategies 28 February 2024 (replacing the edition dated 15 March 2023) Page 2 of 39 Citi Interest Rate Swap Market Tracker Constant Notional Indices-2024-02-28.docx ... interest rate swap contracts that start on (or after) IMM Dates. Index Administrator: Citigroup Global Markets Limited. ...
Volatility Strategies - Ardea Investment Management
- ‘Long volatility’ (i.e. option buying) strategies offer a compelling way to profit from interest rate volatility, without having to rely on predicting the direction of rate movements. - These strategies can be implemented in a favourable asymmetric way (i.e. small downside vs. disproportionally large upside) using interest rate options.
The Foreign Exchange and Interest Rate Derivatives Markets:
Daily turnover in single-currency interest rate derivatives markets decreased 28 percent since the prior survey. Turnover in these instruments, including forward rate agreements (FRAs), interest rate swaps, and interest rate options averaged $1,690 billion per day in the United States during April 2022. (See Chart 2)
Deliverable Interest Rate Swap Futures - CME Group
enabling capital savings and relative value strategies ... • Up to 85% in initial margin savings when portfolio margined against OTC Interest Rate Swaps Margin-Efficient Swap Futures 3 Below are examples of USD MAC Swap Futures across tenors (5,10,30 years) in $1 million DV01 in each ... • Daily Settlement prices for MAC Swap Futures are ...
