Interest Rate Swaps Pricing

Interest Rate Swaps Pricing

One of the most common types of derivative is an Interest Rate Swap. In this video, David explains how to price Interest Rate Swaps from other instruments, and introduces the yield curve and the concept of basis swaps.
Overview

Interest rate swaps are when future interest payments are exchanged between two parties. They are contractually obliged to do so.

Key learning objectives:

  • How to calculate the NPV of a fixed leg swap

  • Define the A/360 convention, and explain how it affects the amount of money you receive.

  • Understand how to calculate interest rate futures.

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Summary
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Expert
David Leeming

David Leeming

David has over 20 years trading interest rate products. Starting with Italian and Spanish markets in the 90’s enabled him to move to Brazil and then onto Hong Kong. Returning to the UK he ran the GBP Rates Desk at UBS in London trading IRS and Swaptions. He also served on the ISDA Rates Steering Committee and London Clearing Houses’ Default Management Committee.

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