金融工程英文课件：Chapter10 Swaps.ppt

Chapter 10 Swaps Definition A swap is a financial derivative in which two parties make a series of payments to each other at special dates. Four types of swaps Currency swaps Interest swaps Equity swaps Commodity swaps Interest rate swaps The most common type of interest rate swap called vanilla swap, in which one party pays a fixed rate and the other pays a floating rate. The party paying a fixed rate and receiving a floating rate will have a cash flow at each interest payment date of This type of swap is called a basis swap, because the underlying is the basis risk in the relationship between the LIBOR and the Treasury bill rate. The value of a floating rate bond is par at its payment date. * *