Swaption PowerPoint PPT Presentations

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

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

Fixing inflation: dealing with publication lag. Inflation linked bonds ... B) Periodical Swaption ... Forwards are artificially high because of liquidity lag ...

Enron example. Distress costs. Shapiro, A. C. and S. Titman (1985) ... The terms specify the interest rate in the case of an interest rate swaption. 8/29/09 ...

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

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

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 ...

Cars (Germany and Japan) Oil (Middle East) Beer (Germany) Cheese and ... More choices such as exotic options on swaps (swaptions), options on futures...

Focusing on interest rate risk in Local Authority portfolio's. Iceland' should be taken as a wake up call to all ... LOBO's embedded long dated Swaptions ...

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

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. ...

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Assicurazioni vita e mercato del risparmio gestito Lezione 11 Prodotti Strutturati di Tasso Derivati di tasso Formula di Black La formula di Black, che viene ...

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OPERACIONES NO BURS TILES FERNANDO FRANCO CUARTAS TIPOS DE TRANSACCIONES TRANSACCIONES BURSATILES. Se realizan dentro de una bolsa de futuros TRANSACCIONES NO ...

NAST Conference

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

Setup. Booking Trades. Reports & Scenarios. Using Calypso in a debugger (e.g. Eclipse) 4 Philip Symes, 2006. 4. IRD Trades Covered ...

Francisco Faraco is a founder and Managing Partner of Faraco Partners, LLC (registered company) providing Investment Advisory, Portfolio Management, and Trading Execution Services to Individuals, Families and Corporations Globally.

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

Hedging of extreme risks in the equity portfolio ... Reduce extreme risk of the risky assets ... Website: www.cardano-riskmanagement.com. Board: Theo Kocken ...

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.

Interest Rate Derivatives Interest Rate Derivatives Swaps Forward Rate Agreements (FRAs): A one-period, future swap EuroDollar Futures Bond Options (Black-76) Caps ...

By Floaters and Swap for Fixed. Credit Default Swaps. Quality Spreads. Treasury. Agency ... Return Swaps. Fixed for Floating Swaps. Credit Default Swaps. Baa ...

Interest Rate Derivatives Interest Rate Derivatives Swaps Forward Rate Agreements (FRAs): A one-period, future swap EuroDollar Futures Bond Options (Black-76) Caps ...

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

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. ...

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

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 ...

Arbitrage-free price for the two products at any time 0. where . Contracts. Numerical ... The approximation formulas of CMS spread options are sufficient accurate by ...

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

Derivatives in Brazil. History of Derivatives ... Derivatives in Brazil. What is available at BOVESPA? Forward and future with stocks ...

The opinions expressed in this presentation are those of the author alone and do ... good reasons at the time, as a fitter's mate in a soap factory on the Wirral ...

'How a Corporate Uses Products to Meet Their Needs' Brett Johanson Director ... brett.johanson@aprisk.com. Asia-Pacific Risk Management Limited. FMOA ...

Title: PowerPoint Author: Eling Last modified by: TSEC Created Date: 10/28/2002 5:04:25 AM Document presentation format: Company

... Rate Options Secondary Market for Swaps Conclusion Q&A History of Swaps The world s monetary leaders suspended the Bretton Woods agreement in 1971 The ...

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

Implement portfolio based macro hedging strategies sectors, countries and macro economy ... Monitor market conditions and adjust portfolio asset strategies ...

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

2006 NAST Treasury Management Conference. Navigating the Flat Yield Curve: ... Asset Management LLC cannot guarantee its accuracy, completeness or suitability. ...

P&L and Positions calculations. Comprehensive risk management tools ... Financial analysis. Scenario generation. Credit Applications. New and cancelled trades ...

2006 Centre for Financial Research, Judge Business School, University of Cambridge ... 5 Years, 10 periods, option to enter the swap at each semi-annual period ...

Early redemption (free boundary conditions) ... www-cfr.jbs.cam.ac.uk. 7 ... Solve a free boundary problem. Cannot compare functions in wavelet space ...

Repos Govt Bonds , Domestic debt, Emerging debt ... IDB's can offer both voice and system solutions. IDB's market products over a wider network. ...

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, ...

Available on both domestic and international stocks. Advantages over direct ... Spoilage is a concern. Where; F0 = futures price P0 = cash price of the asset ...

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Title: Author: . . Last modified by: Goriaev Created Date: 10/17/2002 9:00:23 PM Document presentation format

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

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

Motivation for a currency swap ... Legally circumvent taxes on cross-border currency transactions ... (floating-to-fixed conversion) ...

Focus on Interest Rate Hedging. Common Hedging Instruments. Housing ... She has a First class Honours degree in Economics from Strathclyde University, ...

... 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 ...

Enterprise Risk Management

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