| Author | Xie, Daorong |
| Call Number | AIT RSPR no.SM-97-13 |
| Subject(s) | Interest rate swaps--Simulation methods
|
| Note | A research study submitted in partial fulfillment of the requirements for the degree of Master of Business Administration, School of Management |
| Publisher | Asian Institute of Technology |
| Series Statement | Research studies project report ; no. SM-97-13 |
| Abstract | Although only emerged from the early 80s interest rate swaps have been playing an important
role in the international financial market.
This research is to focus on the simulation of pricing the swaps. According to the source
available the swap can be priced off forward rates, Eurodollar Futures, bond market, and
Treasury curve. Basic pricing theory and each pricing process on these sources are
expounded. Two methods, conversion and discount, to calculate the swap rate are described
and discussed.
Credit risk is a crucial issue in the pricing of interest rate swaps. Effects of countrparties'
credit rates and interest rate term structure on the swap price are explained.
Excel 5 Visual Basic for Application is employed to simulate the pricing process. The
software developed in this research will provide an intuitive understanding to the pricing
process and the effects of varieties of factors on the price of interest rate swap.
Interactive user-computer interface will help the convenient use of the program.
|
| Year | 1997 |
| Corresponding Series Added Entry | Asian Institute of Technology. Research studies project report ; no. SM-97-13 |
| Type | Research Study Project Report (RSPR) |
| School | School of Management (SOM) |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Gupta, J.P. |
| Examination Committee(s) | Tang, J.;Pandey, I. M. |
| Degree | Research studies project report (M.BA.) - Asian Institute of Technology, 1997 |