Introduction to swaps - FMI

Swaps

Swaps and their applications

Introduction to swaps

Calculating the cashflows

Interest rate conventions – dates

Interest rate conventions – payments

Applications for interest rate swaps

Interest rates

Issues with LIBOR

Overnight rates

Single currency basis swaps

Calculating basis swap cashflows

Clearing swaps

Changes in the IRS market

Cleared swap payments

Swap pricing

Single curve discounting

Dual curve discounting

CSA discounting

Case study

Swaps case study quiz

Additional resources and quiz

Bloombergs – PDF

Calculating basis swap cashflows – Excel

Calculating cash flows – Excel

Credit support annex discounting – Excel

Dual curve discounting – Excel

OIS Swap – Excel

Overnight rates example – Excel

Single curve discounting – Excel

Swaps case study solution – Excel

Swaps course survey

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