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WHAT YOU NEED TO KNOW ABOUT INTEREST RATE SWAP VALUATION

Get an overview of interest rate swap valuation in our free white paper

Interest Rate Swap ValuationThe interest rate swaps market constitutes the largest and most liquid part of the global derivatives market. This white paper summarizes the important aspects of swap valuation, from the calculation of the cash flows to the determination of market value from swap initiation to maturity. While there are many similarities to pricing bonds, the subtle differences can lead to mispricing, incorrect attribution, and counterparty disputes.

 

Download this white paper to learn:

  • The history of the projecting and discounting index curves
  • How to value an interest rate swap
  • How to calculate the value of a swap over time

Download the Interest Rate Swaps White Paper