DERIV - Pricing and Valuation of Interest Rate and Other Swaps

Jul 6, 2025 · 10 min · Season 7 · Episode 7 · 10.3 MB

0:00-10:35

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View a plain-vanilla swap as a strip of forward contracts: solve for the par swaprate that sets initial value to zero, then track mark-to-market gains as rates move.Covers fixed-for-float interest swaps, currency swaps and the impact of clearing.