Results 221 to 230 of about 12,556 (263)

Interest Rate Swap Compounding Formulae

SSRN Electronic Journal, 2021
In this short paper, we outline geometric and arithmetic compound formulae for interest rate swaps. We also present ISDA protocol when compounding with a floating spread.
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Accounting for Interest Rate Swaps

Journal of Accounting, Auditing & Finance, 1987
There are major accounting issues for both the counterparties and the principal of an interest rate swap transaction. Currently, the market for swaps well exceeds $150 billion, and at this writing there are no explicit accounting standards for such transactions. This paper defines the basic swap transaction and the relevant accounting issues and offers
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Interest rate swaps

2023
Bin Wei, Vivian Z. Yue
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Interest-Rate Swaps and Arbitrage [PDF]

Finance a uver - Czech Journal of Economics and Finance, 2001
Three approaches toward the determination of fixed swap rates are presented in this article: a swap as a portfolio of bonds with a fixed and floating coupon, a swap as a portfolio of forwards, and a swap as the difference between the cap and the floor (zero-collar). Later in the paper, credit risk is taken in consideration.
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Interest Rate Swaps and Corporate Financing Choices

The Journal of Finance, 1992
ABSTRACTThis paper describes the firm's decision to borrow short‐term versus long‐term and shows how the introduction of interest rate swaps affects this choice. The model shows that in the absence of a swap market, interest rate uncertainty can lead firms to substitute long‐term for short‐term financing.
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Determinants of Interest rate swap spreads: A quantile regression approach

Journal of Economics and Finance, 2022
Kenneth A Tah
exaly  

Forward Rate Agreements and Interest Rate Swaps

2000
Swaps in all but name have been around for many years. Originally conceived to help stabilise currencies and facilitate financial activities between governments as long ago as the 1920s, they have, in recent years, developed beyond recognition from their forerunners and now play a major global role in corporate sector financing.
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Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? Evidence from cross-currency basis swaps

International Review of Economics and Finance, 2022
Takahiro Hattori
exaly  

Interest rate swaps

2008
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Valuing Interest Rate Swap Contracts in Uncertain Financial Market

Sustainability, 2016

exaly