{"title":"Interest Rate Swaps","authors":"R. Jarrow, Arkadev Chatterjea","doi":"10.1002/9781119595663.ch33","DOIUrl":null,"url":null,"abstract":"The following sections are included:IntroductionA Brief HistoryThe Introduction of Swap ContractsFrom a Brokerage to a Dealership MarketISDA and Standardization of ContractsInstitutional FeaturesEntering a Swap ContractDocumentationClosing a Swap PositionValuationVariations of Interest Rate SwapsSwaps and FRAsSynthesizing Swaps with Eurodollars and FRAsThe Yield and Swap CurveEXTENSION 22.1: Computing Forward Rates from Swap RatesSummaryCasesQuestions and Problems","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"22 1","pages":""},"PeriodicalIF":0.4000,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Derivatives","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1002/9781119595663.ch33","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
The following sections are included:IntroductionA Brief HistoryThe Introduction of Swap ContractsFrom a Brokerage to a Dealership MarketISDA and Standardization of ContractsInstitutional FeaturesEntering a Swap ContractDocumentationClosing a Swap PositionValuationVariations of Interest Rate SwapsSwaps and FRAsSynthesizing Swaps with Eurodollars and FRAsThe Yield and Swap CurveEXTENSION 22.1: Computing Forward Rates from Swap RatesSummaryCasesQuestions and Problems
期刊介绍：
The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets
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