Calculating Swap Payments.
Computing the Present Value of Swap Payments and Determining the Swap Fixed Rate.
Traditional Approach to the Valuation of a Plain Vanilla Swap.
Lattice Approach to Valuation.
Swap Valuation Using the Lattice Approach.
Valuation of Forward Start Swaps.
Valuing a Swaption.
Factos that Affect the Value of a Swaption.
Valuing Non–LIBOR Based Swaps and Basis Swaps.
Controlling Interest Rate Risk with Swaps.
Appendix A: Theoretical Spot and Forward Rates.
Appendix B: Binomial Interest Rate Model.
Appendix C: Valuation of Swaps Using the Trinomial Approach.