• Moorad Choudhry
  • Didier Joannas
  • Richard Pereira
  • Rod Pienaar
Part of the Finance and Capital Markets Series book series (FCMS)


Swaps are off-balance sheet instruments involving combinations of two or more basic building blocks. Most swaps involve combinations of cash market securities, for example a fixed interest rate security combined with a floating interest rate security, possibly also combined with a currency transaction. The market has also seen swaps that involve a futures or forward component, as well as swaps that involve an option component. The main types of swap are interest rate swaps, asset swaps, basis swaps, fixed-rate currency swaps and currency coupon swaps.


Interest Rate Cash Flow Discount Factor Forward Rate Interest Payment 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Selected Bibliography and References

  1. Bicksler, J. and Chen, A. ‘An economic analysis of interest rate swaps’, Journal of Finance, 41, 3, 1986, pp. 645–55.CrossRefGoogle Scholar
  2. Brotherton-Ratcliffe, R. and Iben, B. ‘Yield curve applications of swap products’, in Schwartz, R. and Smith, C. (eds), Advanced Strategies in Financial Risk Management, New York Institute of Finance, 1993.Google Scholar
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  4. Das, S. Swaps and Financial Derivatives, 2nd edn, IFR Publishing, 1994.Google Scholar
  5. Decovny, S. Swaps, 2nd edn, FT Prentice Hall, 1998.Google Scholar
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  7. Eales, B. Financial Risk Management, McGraw Hill, 1995, ch. 3.Google Scholar
  8. Fabozzi, F. (ed.), Perspectives on Interest Rate Risk Management for Money Managers and Traders, FJF Associates, 1998.Google Scholar
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  10. Henna, P. Interest-Rate Risk Management using Futures and Swaps, Probus, 1991.Google Scholar
  11. International Swaps and Derivatives Association, Code of Standard Working, Assumptions and Provisions for Swaps, New York, 1991.Google Scholar
  12. Jarrow, R. and Turnbull, S. Derivative Securities, 2nd edn, South-Western, 2000.Google Scholar
  13. Khan, M. ‘Online platforms battle for business’, Risk, September 2000.Google Scholar
  14. Kolb, R. Futures, Options and Swaps, 3rd edn, Blackwell, 2000.Google Scholar
  15. Li, A. and Raghavan, V. R. ‘LIBOR-in-arrears swaps’, Journal of Derivatives, 3, Spring 1996, pp. 44–8.CrossRefGoogle Scholar
  16. Lindsay, R. ‘High wire act’, Risk, August 2000.Google Scholar
  17. Marshall, J. and Kapner, K. Understanding Swap Finance, South-Western Publishing, 1990.Google Scholar
  18. Turnbull, S. ‘Swaps: a zero sum game’, Financial Management, 16, Spring 1987, pp. 15–21.CrossRefGoogle Scholar

Copyright information

© Moorad Choudhry, Didier Joannas, Richard Pereira and Rod Pienaar 2005

Authors and Affiliations

  • Moorad Choudhry
    • 1
  • Didier Joannas
    • 2
  • Richard Pereira
    • 3
  • Rod Pienaar
    • 4
  1. 1.KBC Financial ProductsUK
  2. 2.Hong KongChina
  3. 3.Nomura plcUK
  4. 4.UBS AGUK

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