Overview

In this tutorial, we explain the structure of asset swaps and outline some of their uses and applications. We focus on pricing the initial spread and examine the price sensitivity of an asset swap. It demonstrates how the mark-to-market value is determined and outlines the process of unwinding an asset swap. In this tutorial, we will describe the different types of currency swaps and explain how they are priced.

Objective

On completion of this tutorial, you will be able to:
- Define an asset swap
- Differentiate between the different types of asset swap
- Outline the different uses of asset swaps
- Calculate the spread over the floating rate for an asset swap
- Determine asset swap price sensitivity
- Unwind an asset swap
- Describe the basic features and characteristics of currency swaps
- Price different types of currency swaps

Content

Module 1: Swaps - Asset Swaps - An Introduction
Topic 1: Asset Swap Basics
Topic 2: Uses & Applications of Asset Swaps

Module 2: Swaps - Asset Swaps – Pricing
Topic 1: Pricing an Asset Swap
Topic 2: Price Sensitivities of an Asset Swap

Module 3: Swaps - Currency Swaps
Topic 1: Introduction to Currency Swaps
Topic 2: Swaps – Interest Rate Swap Pricing