← Back to Tracks
Track

Interest Rate Derivatives

Interest rate swaps priced and valued the way a desk does it: unwind value, CVA and FVA, cross-currency swaps and FX-implied funding.
Interest Rate Derivatives – As in the Real World
Interest rate swaps the way the desk trades them: pricing and DV01, forward-start leverage, unwind mechanics, CVA and FVA, and cross-currency basis — from FX points to bootstrapped par yields.
Members Only
1: Interest Rate Swaps – Pricing & Valuation
I’ll share the practical workings of interest rate swaps, cross currency swaps…
1.
2: Unwind Value of an IRS
swap unwinds are computed as the present value of the cash flows (positive or negative) reflected in the difference…
2.
3: IRS – Crucial Other Considerations (CVA, FVA, …)
Other considerations while entering into a swap are counterparty credit risk and funding of cash flows…
3.
4: Cross Currency Swaps … How is it Different from an IRS
A variation of interest rate swaps, cross currency one can think of a CCS contract…
Members Only
4.
5: Intuition behind a cross currency basis swap
Now as a follow-up here’s the intuition behind the cross currency basis product – the term basis refers…
Members Only
5.
6: FX Swaps to FX Implied to Par CCS
We have discussed both FX swaps and cross currency swaps and now understand that both products…
Members Only
6.