interest-rate-swaps

  1. Nicole Seaman

    P1.T3.23.7. Interest rate swaps

    Learning objectives: Explain the mechanics of a plain vanilla interest rate swap and compute its cash flows. Explain how a plain vanilla interest rate swap can be used to transform an asset or a liability and calculate the resulting cash flows. Explain the role of financial intermediaries in the...
    • Nicole Seaman
    • Thread
    • cash-flow comparative-advantage confirmation discount-rates financial-intermediaries interest-rate-swaps plain-vanilla-interest-rate-swap simultaneous-bond-positions
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    P2.T5.22.10. Value at risk (VaR) mapping

    Learning objectives: Summarize how to map a fixed-income portfolio into positions of standard instruments. Describe how mapping of risk factors can support stress testing. Explain how VaR can be computed and used relative to a performance benchmark. Describe the method of mapping forwards...
    • Nicole Seaman
    • Thread
    • forward-rate-agreement interest-rate-swaps mapping-forwards options risk-factors stress-testing var-mapping
    • Replies: 0
    • Forum: FRM® Practice Questions
  3. F

    Interest Rate Swaps (Key Rate Duration)

    I am trying to understand why KRD levels are most sensitive closer to the maturity of a pay-fixed swap. Let’s say for example, I have a 10-year vanilla pay-fixed swap. The KRD is highest at the 10yr, around 4.54. One side of the transaction is fixed and the swap is essentially a bet on LIBOR...
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