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 | | Valuation of Interest Rate Swaps and Swaptions by Gerald W. Buetow, Frank J. Fabozzi ISBN-10: 9781883249892 ISBN-10: 1-883249-89-9 ISBN-13: 9781883249892 ISBN-13: 978-1-883249-89-2 Hardcover 2000-06 Wiley Find Lowest Price |
Editorials | ||
Product Description Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included. | ||
Reviews | ||
Very clear and detailed explanations I dont work for a trading desk, but work for IT that supports the trading desk and needed to understand the workings of swap pricing etc. This book gives a very clear explanation of how to price a swap at inception and through the life of the swap agreement. It ties all together volatility, swap curve/term structure of interest rates etc. If you were looking for a more detailed explanation and are actually going to be trading swaps then this is probably not the book. | ||
excellent book , very clear. I trade derivatives, and this book was amazing to get me started in the valuation of IRS and swaptions. It provides very clear steps used to value an IRS from a sting of libor futures. It describes the swaption valuation with an introduction to binomial trees in a very simmple manner. Everything is explained very clearly and takes you through the math step by step. I own more than 10 books that describe the valuation of an IRS and by far this is the best. | ||
Is this book a joke? A book written on "valuation of swaps and swaptions" is obviously not for the lay man. I was extremely disappointed to go through this book, which seems to be fit for 5th graders. It's a shame that a supposed leading thinker like Fabozzi can write such a shallow, meaningless book. Mr. Fabozzi, please name one practitioner who cares to use this good-for-nothing book of yours. Perhaps a better title for the book would have been, "Swaps and swaptions for dummies". | ||
Educational use only The book is terrific for a classroom setting. It is far easier to understand the interactions between valuation inputs (term structure, volatility, level of rates, etc) than any other book in the market. The use of the lattice approach is great - and very original. Most students find the lattice approach more easy to understand and therefore more able to better understand these instruments. The book is not designed for a swap dealer by any stretch of the imagination. I have used it in a training program several times with great effect. | ||
Not worth spending money Like all other Fabozzi books this one also just scratches the surface of the topic (swap and swaptions) with text book style examples which are not seen in real world. He starts with an example where both the fixed and floating leg of a swap is semiannual and actual/360 which is not the case of US Swaps and nowhere through out the book he discusses how to deal with different day counts (30/360 & actual/360) in the fixed and floating legs as well as different payment styles (semianually for fixed and quarterly for floating). Anyone who is trying to build a swap valuation tool will realize the importance of the above meniotned topics which is not covered in this book. Even a slight change in numbers can change the P&L by several hundred thousand dollars as the notional are generally upwards of 100 million. This book may be good for an undergrad student who is taking the first course in finance and trying to understand what a swap is. But even then it will facilitate only an abstract theoretical knowledge which he/she will never be able to relate to in real world swaps. Avoid this book, it's a waste of your hard earned money. | ||