Contents

Part 4: SWAPS AND OPTIONS

8 Interest Rate and Currency Swaps
Basic concepts and applications
Pricing
Valuing swaps
Hedging an interest rate swap
Amortising and forward-start swaps
Currency swaps
Exercises

9 Options
Overview
The ideas behind option pricing
Pricing models
OTC options vs. exchange-traded options
The Greek letters
Hedging with options
Some packaged options
Some trading strategies
Some less straightforward options
Exercises

195
196
200
208
213
214
216
218
221
222
223
228
237
238
242
244
246
252
254

Part 5: FURTHER EXERCISES, HINTS AND ANSWERS

10 Further exercises

257

11 Hints and Answers to Exercises

263
264
276
316

Hints on exercises
Answers to exercises
Answers to further exercises

Appendix 1 Using an HP calculator

Appendix 2 A summary of market day/year conventions
Appendix 3 A summary of calculation procedures
Appendix 4 Glossary
Appendix 5 ISO (SWIFT) codes for currencies
Select Bibliography
Index

329
337
341
359
381
387
389

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