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A Comparision Of Interest Rate Swaps And Derivatives Pdf

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Interest Rate Swaps

This paper uses the financial sector variables over the last two years to analyse the determinants of the Overnight Index Swap OIS rates in India. Among the financial variables considered, in the short run, Gsec rate and call rate had positive and significant correlation with the OIS rate, while Inflation rate was not contemporaneously related with the OIS rate. The other factor that significantly caused the OIS rate movement was the liquidity conditions in the Indian money market, measured by the difference between the call and repo rate. The above factors remained crucial even during and in the aftermath of the global financial crisis. The impulse response functions indicated that the market was resilient to shocks. The long run equilibrium relationship between OIS, Gsec and Call rates was confirmed by existence of at least one cointegrating vector.

Interest Rate Derivative

You have not saved any content. Interest rate swaps have become an integral part of the fixed income market. These derivative contracts, which typically exchange — or swap — fixed-rate interest payments for floating-rate interest payments, are an essential tool for investors who use them in an effort to hedge, speculate, and manage risk. An interest rate swap is an agreement between two parties to exchange one stream of interest payments for another, over a set period of time. Swaps are derivative contracts and trade over-the-counter. LIBOR is the benchmark for floating short-term interest rates and is set daily. Although there are other types of interest rate swaps, such as those that trade one floating rate for another, vanilla swaps comprise the vast majority of the market.

PDF | Interest rate swaps, a financial innovation in recent years, are based These institutional differences suggest the presence of some market imperfec- as the majority of interest rate derivatives are interest rate swaps.

Credit contingent interest rate swap pricing

The interest rate swaps market has experienced tremendous growth since what is commonly regarded as the rst swap was executed in In that year Salomon Brothers intermediated a cross-currency swap between the World Bank and IBM in a transaction that at the time was unique and provided considerable advantage to both counterparties. The growth in the market since then manifests itself not only in the vast increase in the notional outstanding of interest rate swaps but also in the varied users and uses of swaps. The purpose of this chapter is to provide a broad overview of the swaps market.

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Interest Rate Swaps

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Interest Rate Swaps and Other Derivatives


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