Receiver Swaption PowerPoint PPT Presentations

An interest rate swaption or interest rate European swaption is an OTC option that grants its owner the right but not the obligation to enter an underlying interest rate swap. There are two types of swaptions: a payer swaption and a receiver swaption. An payer swaption is also called a right-to-pay swaption that allows its holder to exercise into a swap where the holder pays fixed rates and receives floating rates, while a receiver swaption is also called right-to-receive swaption that allows its holders to exercise into a swap where the holder receives fixed rates and pays floating rates. Swaptions provide clients with a guarantee that the fixed rate of interest they will pay at some of future time will not exceed certain level. This presentation gives an overview of swaption product and valuation. You can find more details at http://www.finpricing.com/lib/IrSwaption.html

An interest rate Bermudan swaption gives the holder the right but not the obligation to enter an interest rate swap at predefined dates. It is one of the fundamental ways for an investor to enter a swap. Comparing to regular swaptions, Bermudan swaptions provide market participants more flexibility and control over the exercising of an option and less restriction. Given those flexibilities, a Bermudan swaption is more expensive than a regular European swaption. In terms of valuation, it is also much more complex. This presentation provides practical details for pricing cancelable swaps. You find more presentations at http://www.finpricing.com/productList.html

A cancelable swap provides the right but not the obligation to cancel the interest rate swap at predefined dates. Most commonly traded cancelable swaps have multiple exercise dates. Given its Bermudan style optionality, a cancelable swap can be represented as a vanilla swap embedded with a Bermudan swaption. Therefore, it can be decomposed into a swap and a Bermudan swaption. Most Bermudan swaptions in a bank book actually come from cancelable swaps. Cancelable swaps provide market participants flexibility to exit a swap. This additional feature makes the valuation complex. This presentation provides practical details for pricing cancelable swaps. You find more presentations at http://www.finpricing.com/productList.html

Opening the Black Box of Swaps. Hedging Debt Issuance with Swaps. Swaptions ... VRDBs, ARS, or ... VRDBs, ARS, or BMA. Swaps-to-Floating. Total: $155 million ...

even if the smile is available, points could be sparse ... some dependency on swaption smile in calculating the forwards and the spread option price ...

Conversion from an investment in one currency to an investment in another currency ... Let the Swap be where USD is received and foreign currency is paid ...

Credit default swaps. Equity-linked swaps. 2. Asset swaps ... Many investors use Asset Swaps to 'arbitrage' the credit markets, as in many ...

NAST Conference

Physical versus financial settlement. Physical settlement of the ... financial settlement ... magnitude of the payments when the swap is settled financially. ...

... cannot 'put' a bond back to the Issuer; does not require ongoing support of liquidity. ... Flexibility to unwind and take market gains. ...

Libor Market Models: the reasons behind the success A focus on calibration Introduction Market models have become a standard in the bank industry.

American are exercisable at any time up to and including the strike date ... Credit exposure models employ statistical techniques to evaluate potential mark ...

What is the potential impact on your credit ratings? Will the swap impact your debt capacity? ... insurance companies that lost AAA ratings and are now rated as ...

International Finance Lecture 6 World Financial Markets and Institutions International Banking and Money Market International Bond Market International Equity Markets ...

No significant changes expected to rating models in the short term ... ( Haircuts are the percentage by which the market value of the collateral is reduced. ...

This is due to the fact that option trading is a. zero-sum game. Interest Rate Floors ... in fixed rate assets but will still be exposed to. the risk of ...

... America, Morgan Stanley, Merrill Lynch, Piper Jaffray, Citigroup, Goldman Sachs ... and paying another, such as the interest rate on your own obligations. ...

Floater & Inverse Floater The inverse floater is a derivative security synthetically created from the fixed rate debt instrument as the underlying collateral.

Derivatives are Finance Instruments ... Derivatives

A focus on calibration. 1. Introduction. Market models have become a standard in the bank industry. ... A model can now be characterized through the forward ...

Analyze the value of interest rate swaps and how they effect the duration of a FI's net worth. ... Consider how interest rate options such as bond options, ...

Bank of America: 5.594% UBS: 5.590% High-low diff: 9.3 bps. Example 4: Ultra-long cap ... Bank of America. 293 bps. Merrill Lynch. 291 bps. Bank of New York ...

... Allied Irish Bank ($700 Million), Barings Bank ($1 Billion), Daiwa Bank ( $1 Billion), Kidder Peabody ($350 Million), LTCM ($4 Billion), Midland Bank ...

Energy-Aware Resource Adaptation in Tessellation OS Parallel Computing Laboratory David Chou, Gage Eads Par Lab, CS Division, UC Berkeley 1. Motivation

Different types of swaps, based on underlying currency, interest rate, or equity ... Conversion from a liability in one currency to a liability in another currency. ...

Option Pricing Models ... option pricing models. Put-Call Parity ... Interest Rate Floor. Strike Rate. Combinations. Interest Rate Collar. Captions. Flotions ...

Spark Spread Options. Tolling deals ... and variable costs = option on spread between power prices and prices of fuels and emission ...

Asset/Liability ManagementDay 4. Equity Valuation, Duration, EVE, Deposit Betas, & Hedging

... fixed-rate, level debt service 20-ish year debt, issuers are setting a default ... versus a BMA swap or fixed-rate bonds, has decreased to near a 13-year low ...

XML Grammars

Derivatives Options on Bonds and Interest Rates Professor Andr Farber Solvay Business School Universit Libre de Bruxelles Caps Floors Swaption Options on IR ...

XML Grammars 95-733 Internet Technologies Internet Technologies * Internet Technologies * Code Generation Run JAXB against the .xsd file Code generated will present ...

Business F723 Fixed Income Analysis Week 11 Options and Swaps Option Basics Options are based on buying or selling an asset in the future at a fixed price This ...

interbank deposits (i.e. if a German bank lends $2 mil to a U.S. bank and a U.S. ... Advertisement in business pages of Globe and Mail, early Jan. 01 ...

Com 4FJ3 Fixed Income Analysis Week 11 Options, Swaps, & Credit Derivatives * Interpreting a Swap There are 2 ways of looking at a swap A package of forward contracts ...

... 1 to 1, making the assessment of the relative degree of dependence involved. ... of n independent random variables z = (z1,..., zn)' from N(0,1), with N standard ...

Drake. DRAKE UNIVERSITY. Fin 288. Futures, Options, and Swaps ... Any Asset whose value is based upon (or derived from) an underlying asset. ... Warren Buffett ...

By selling the floor, however, the borrower gives up gains from falling interest ... result, we would price swaptions using models for pricing options on bonds. ...

Director of Finance, Village of Schaumburg, Illinois. William H. Hansell ... Fair Share Campaign - $146,000. City and county governments. 27. NASACT's Role ...

In 1986, world oil prices plummeted by 50%, which was disastrous for oil ... If gold prices rise, the jeweler will be forced to purchase the gold at a higher ...

A brief history of developments in the Structured Credit Market. Single name CLN and FTD baskets ... 2-way pricing available in leveraged synthetic credit ...

Mortgage-Backed Securities (MBSs) Originated in ... The mortgage-backed securities represent ownership in the mortgages ... Mortgage-Backed Securities (cont. ...

Currency Exchange Rates Have Become More Volatile ... Exchange-listed currency options. 1982. Captions. 1993. Currency swaps. 1981 ... Foreign Exchange Risk: ...

Budget, Finance and Operations

... be mismatches within each bucket which become visible as time goes through their ... Let us do a simple case study to illustrate the application of duration ...

A callable bond is a bond in which the issuer has the right to call the bond at specified times from the investor for a specified price. At each callable date prior to the bond maturity, the issuer may recall the bond from its investor by returning the investor’s money. The underlying bonds can be fixed rate bonds or floating rate bonds. A callable bond can therefore be considered a vanilla underlying bond with an embedded Bermudan style option. Callable bonds protect issuers. Therefore, a callable bond normally pays the investor a higher coupon than a non-callable bond. This presentation gives an overview of callable bond and valuation model. You can find more presentations at http://www.finpricing.com/productList.html.

A puttable bond is a bond in which the investor has the right to sell the bond back to the issuer at specified times for a specified price. At each puttable date prior to the bond maturity, the investor may get the investment money back by selling the bond back to the issuer. The underlying bonds can be fixed rate bonds or floating rate bonds. A puttable bond can therefore be considered a vanilla underlying bond with an embedded Bermudan style option. Puttable bonds protect investors. Therefore, a puttable bond normally pays investors a lower coupon than a non-callable bond. This presentation gives an overview of puttable bond and valuation model. You can find more presentations at http://www.finpricing.com/productList.html.

Risk Adjusted Performance Measurement - the Economic Profit Concept at Deutsche Bank From Theory to Practise South Korea, June 2001 Presentation Overview Deutsche ...

Where Did the Risk Go? How Misapplied Bond Ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions Joseph R. Mason, Associate ...

Corporate Training and Consulting Course on Futures & Options For XIM -Bhubaneshwar ... Options contracts which are written on futures contracts Compound options ...

... not the option holder Convertibles Bond is convertible at ... basis Hedge the risk Convertible Hedge Requires an asset swap to maintain investment structure ...

The stock price of a growing business, ought to increase as its profits increase. ... exploits short- and long-term relationships among stock prices and volatility. ...

NEER. RER. PPP. Combining foreign exchange market with financial markets ... NEER weighted average exchange rate measure (weights are exports PLUS imports ...

Risk Management in Forex Markets - Basic and Emerging concerns By Sitarama Murthy@ Prmia, Hyderabad Market Players Commercial Banks Central Banks Corporates ...

Diversifying into all sorts of credits, including non-performing assets! ... Channel was to provide advice through panel visits APEC economies: ...

... a minimum or floor rate. When floating BBSW or BBSY sets between the cap and floor strike they pay ... One factor models only have once source of uncertainty ...