Evaluarea tranzacţiilor SWAP
Pricing and Valuation of SWAPS
Author(s): Codruţa Maria Făt, Maria-Miruna PocheaSubject(s): Economy
Published by: Alma Mater & Universitatea »Babes Bolyai« Cluj - Facultatea de St. Economice si Gestiunea Afacerilor
Keywords: valuation; interest rate swap; cross currency swap; ZC rates; FRA
Summary/Abstract: The purpose of this article is to examine the valuation of interest rate swaps and also of cross currency swaps. We describe and compare two valuation methods for swaps that are based by two diff erent ideas. The fi rst method refers to the fact that a swap can be viewed as a combination of fi xed and fl owting rate bonds. The second method focuses on analyzing a swap as a spot transaction and a series of forward rate agreements
Journal: Revista de Studii şi Cercetări Economice Virgil Madgearu
- Issue Year: 2008
- Issue No: 02
- Page Range: 52-62
- Page Count: 11
- Language: Romanian