Research Catalog

Title

Interest rate & currency swaps : the markets, products and applications / Ravi E. Dattatreya, Raj E.S. Venkatesh, Vijaya E. Venkatesh.

Author

Dattatreya, Ravi E.

Publication

Chicago, Ill. : Probus Pub. Co., [1994], ©1994.

Items in the Library & Off-site

Holdings

Details

Additional Authors

• Venkatesh, Raj E. S.
• Venkatesh, Vijaya E.

Description

xvii, 232 pages : illustrations; 24 cm

Summary

• The swap market has revolutionized the world of finance. No other instrument provides such flexibility in managing the risk of assets and liabilities. Indeed, swaps simply have no equal as financing and risk-management tools.
• The growth of the swap market has been phenomenal. After coming into being less than 20 years ago, the notional value of the swap market has expanded to around $3 trillion. Among financial professionals, the influence of the swap market is second only to the Treasury yield curve in importance.
• Interest Rate and Currency Swaps explains how swaps work and how they can be applied to a variety of situations. In clear, straightforward language this book describes the structure of swaps from simple to complex, risk and price analysis of swap transactions and hedging principles.
• Many corporations use interest rate swaps to borrow at lower costs than they could through more traditional financing means. Similarly, with the globalization of business, currency swaps are frequently used to hedge foreign exchange risk. Indeed, for most large companies and financial institutions, swap transactions have become routine.
• As the swap market has grown, so has the complexity of swap instruments. Authors Ravi Dattatreya, Raj Venkatesh and Vijaya Venkatesh describe in detail a variety of swap structures including: off-market swaps, zero coupon swaps, swaps-in-arrears, basis swaps and forward swaps.
• In addition, the authors devote considerable attention to asset/liability management through swaps. They describe basic hedging techniques, as well as unveiling a new method for managing yield curve risk. For any financial institution or corporation grappling with interest rate risk, this section alone is well worth the book's price. Other topics addressed include measuring interest rate risk, multi-currency hedging, arbitrage and speculation, scenario analysis, and Monte Carlo simulation.
• Without question, swaps are the single most important finance development in recent years. Interest Rate and Currency Swaps is the definitive source to understand and apply these powerful instruments.

Alternative Title

Interest rate and currency swaps.

Subject

• Swaps (Finance) > United States
• Foreign exchange futures > United States
• Interest rate futures > United States
• Hedging (Finance) > United States

Contents

1. Introduction to Interest-Rate Swaps -- 2. Applications and Structures -- 3. Currency Swaps -- 4. An Approach to Hedging -- 5. Analyzing a Transaction -- 6. Pricing and Risk Characteristics.

ISBN

1557384681

LCCN

94142620

OCLC

ocm29816515

Owning Institutions

Columbia University Libraries