2016•Unpublished venueRequires access

Interest Rate Swaps

Aron Gottesman

Abstract

This chapter explores interest rate swaps. An interest rate swap is an agreement in which two counterparties agree to periodically exchange fixed and floating rates of interest over a number of periods of time. Key characteristics of interest rate swaps are introduced and the determinations of their fixed and floating rates are discussed. This chapter also explores how interest rate swap cash flows are calculated and how interest rate swaps can be used to transform cash flows.

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Key concepts: Interest rate swap, Swap (finance), Interest rate derivative, Floating interest rate, Interest rate, Fixed interest rate loan, Foreign exchange swap, Economics