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Interest Rate and Currency Swaps: A Tutorial is a thorough discussion of two useful and widely used forms of derivatives-interest rate and currency swaps. The authors provide step-by-step instructions and real-life examples of how to use the swaps. Exercises (and solutions) after each chapter permit readers to learn by doing, and the book contains a comprehensive bibliography.

Table of Contents

Acknowledgments.
Foreword.
1. Overview of the Swap Market.
2. Economic Interpretations of a Swap Contract.
3. Swap Applications.
4. Pricing Interest Rate and Currency Swaps.
5. The Risks in Swap Contracting.
6. Swap Design Variations and Extensions.
Appendix: Calculation of the Macaulay Duration Statistic.
Glossary of Swap Terminology.
Selected AIMR Publications.

134 pages