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Swaps

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

Abstract

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.

Keywords

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

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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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