2023•Edward Elgar Publishing eBooksRequires access
Interest rate swaps
Bin Wei, Vivian Z. Yue
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Abstract
This chapter focuses on interest rate swaps. We aim to provide the reader with an understanding of the interest rate swaps market. For this purpose, we describe how the market works, what different types of interest rate swaps there are, and how those swaps are priced. We also discuss various sources of risk inherent in those derivative contracts and introduce major types of participants in the interest rate swap market. Lastly, we review the academic literature on swap usage, determination of swap spreads, and the use of swaps to gauge expectations of monetary policy.