Download - Ch 7 Mismatch Swaps
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Worksheet Title
7.1 Market data
7.2 Pricing an in-arrears swap
7.3 Creating a customised average-rate swap
7.4 Creating a compound swap
7.5 Pricing a Constant Maturity Swap - using sa.
7." Pricing a Constant Maturity Swap - using #u.
7.7 Pricing a Constant Maturity Swap - using sa. 7.$ Pricing a Participation Constant Maturity Swap
7.% &stimating t'e conve(ity e!!ect o! a )eneric *
7.1+ Pricing a Constant Maturity Swap, 'ow does it
7.11 to 7.2+ Modeing swaps wit' conve(ity e!!ects
7.21 to 7.2" 0)M simuation o! *S to estimate t'e C e!!
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!erence ate
e!erence ate paying sa.
!erence ate paying #u.- using sa. e!erence ate
S using !orward rates
c'ange in aue !or a s'i!t in t'e /orward Curve
cts
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7.1: Market data
odays date, 4-/e-+$
Settement 2
ay 6-c rates gradient
count
+ 3.21" +.++++ "-/e-+$
+.+1% 3.21" -+.++"4 "-May-+$ +.25+ 3.133
+.+$1 3.177 -+.++2" "-8ug-+$ +.5+" 3.+73
+.25+ 3.133 -+.++23 "-9ov-+$ +.7"1 2.%55
+.5+" 3.+73 -+.++4" "-/e-+% 1.+17 2.$54
+.7"1 2.%55 -+.++4+ "-May-+% 1.2"4 2.7$7
1.+17 2.$54 -+.++27 "-8ug-+% 1.51% 2.74$
1.2"4 2.7$7 -+.++1" "-9ov-+% 1.775 2.737
1.51% 2.74$ -+.+++4 $-/e-1+ 2.+3" 2.755
1.775 2.737 +.+++7 "-May-1+ 2.27$ 2.7%$
2.+3" 2.755 +.++1$ "-8ug-1+ 2.533 2.$"+
2.27$ 2.7%$ +.++24 $-9ov-1+ 2.7%4 2.%2%
2.533 2.$"+ +.++2" 7-/e-11 3.+47 2.%%5
2.7%4 2.%2% +.++2" "-May-11 3.2%2 3.+57
3.+47 2.%%5 +.++25 $-8ug-11 3.553 3.12+3.2%2 3.+57 +.++24 7-9ov-11 3.$+" 3.1$+
3.553 3.12+ +.++24 "-/e-12 4.+5$ 3.23%
3.$+" 3.1$+ +.++23 7-May-12 4.311 3.2%$
4.+5$ 3.23% +.++23 "-8ug-12 4.5"4 3.357
4.311 3.2%$ +.++23 "-9ov-12 4.$1% 3.417
4.5"4 3.357 +.++23 "-/e-13 5.+75 3.475
4.$1% 3.417 +.++23 "-May-13 5.322 3.531
5.+75 3.475 +.++23 "-8ug-13 5.57$ 3.5$$
5.322 3.531 +.++22 "-9ov-13 5.$33 3."435.57$ 3.5$$ +.++21 "-/e-14 ".+$% 3."%5
5.$33 3."43 +.++2+ "-May-14 ".33" 3.742
".+$% 3."%5 +.++1% "-8ug-14 ".5%2 3.7$%
".33" 3.742 +.++1$ "-9ov-14 ".$47 3.$33
".5%2 3.7$% +.++17 "-/e-15 7.1+3 3.$75
".$47 3.$33 +.++1" "-May-15 7.35+ 3.%13
7.1+3 3.$75 +.++15 "-8ug-15 7."+" 3.%51
7.35+ 3.%13 +.++15 "-9ov-15 7.$"1 3.%$7
7."+" 3.%51 +.++14 $-/e-1" $.122 4.+25
7.$"1 3.%$7 +.++14 "-May-1" $.3"7 4.+"+
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$.122 4.+25 +.++14 $-8ug-1" $."2$ 4.+%$
$.3"7 4.+"+ +.++14 7-9ov-1" $.$$1 4.133
$."2$ 4.+%$ +.++14 "-/e-17 %.133 4.1"7
$.$$1 4.133 +.++14 $-May-17 %.3$" 4.2++
%.133 4.1"7 +.++13 7-8ug-17 %."3% 4.231%.3$" 4.2++ +.++12 "-9ov-17 %.$%2 4.2"1
%."3% 4.231 +.++12 "-/e-1$ 1+.147 4.2%+
%.$%2 4.2"1 +.++11 7-May-1$ 1+.3%7 4.317
1+.147 4.2%+ +.++11 "-8ug-1$ 1+."5+ 4.343
1+.3%7 4.317 +.++1+ "-9ov-1$ 1+.%+" 4.3"$
1+."5+ 4.343 +.++1+ "-/e-1% 11.1"1 4.3%3
1+.%+" 4.3"$ +.++1+ "-May-1% 11.4+$ 4.41"
11.1"1 4.3%3 +.+++% "-8ug-1% 11.""4 4.43%
11.4+$ 4.41" +.+++% "-9ov-1% 11.%1% 4.4"1
11.""4 4.43% +.+++% "-/e-2+ 12.175 4.4$311.%1% 4.4"1 +.+++$ "-May-2+ 12.425 4.5+3
12.175 4.4$3 +.+++$ "-8ug-2+ 12."$1 4.524
12.425 4.5+3 +.+++$ "-9ov-2+ 12.%3" 4.544
12."$1 4.524 +.+++$ $-/e-21 13.1%7 4.5"4
12.%3" 4.544 +.+++$ "-May-21 13.43% 4.5$2
13.1%7 4.5"4 +.+++7 "-8ug-21 13."%4 4."++
13.43% 4.5$2 +.+++7 $-9ov-21 13.%5" 4."1$
13."%4 4."++ +.+++7 7-/e-22 14.2+$ 4."34
13.%5" 4."1$ +.+++7 "-May-22 14.453 4."5+14.2+$ 4."34 +.+++" $-8ug-22 14.714 4."""
14.453 4."5+ +.+++" 7-9ov-22 14.%"7 4."$+
14.714 4.""" +.+++" "-/e-23 15.21% 4."%4
14.%"7 4."$+ +.+++5 $-May-23 15.472 4.7+7
15.21% 4."%4 +.+++5 7-8ug-23 15.725 4.71%
15.472 4.7+7 +.+++5 "-9ov-23 15.%7$ 4.73+
15.725 4.71% +.+++5 "-/e-24 1".233 4.741
15.%7$ 4.73+ +.+++4 "-May-24 1".4$3 4.752
1".233 4.741 +.+++4 "-8ug-24 1".73% 4.7"1
1".4$3 4.752 +.+++4 "-9ov-24 1".%%4 4.771
1".73% 4.7"1 +.+++4 "-/e-25 17.25+ 4.7$+
1".%%4 4.771 +.+++3 "-May-25 17.4%7 4.7$$
17.25+ 4.7$+ +.+++3 "-8ug-25 17.753 4.7%5
17.4%7 4.7$$ +.+++3 "-9ov-25 1$.++$ 4.$+3
17.753 4.7%5 +.+++3 "-/e-2" 1$.2"4 4.$1+
1$.++$ 4.$+3 +.+++3 "-May-2" 1$.511 4.$1"
1$.2"4 4.$1+ +.+++3 "-8ug-2" 1$.7"7 4.$23
1$.511 4.$1" +.+++2 "-9ov-2" 1%.+22 4.$2%
1$.7"7 4.$23 +.+++2 $-/e-27 1%.2$3 4.$341%.+22 4.$2% +.+++2 "-May-27 1%.525 4.$3%
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1%.2$3 4.$34 +.+++2 "-8ug-27 1%.7$1 4.$44
1%.525 4.$3% +.+++2 $-9ov-27 2+.+42 4.$4%
1%.7$1 4.$44 +.+++2 7-/e-2$ 2+.2%4 4.$54
2+.+42 4.$4% +.+++2 $-May-2$ 2+.547 4.$5$
2+.2%4 4.$54 +.+++2 7-8ug-2$ 2+.$++ 4.$"22+.547 4.$5$ +.+++2 "-9ov-2$ 21.+53 4.$""
2+.$++ 4.$"2 +.+++1 "-/e-2% 21.3+$ 4.$"%
21.+53 4.$"" +.+++1 7-May-2% 21.55$ 4.$72
21.3+$ 4.$"% +.+++1 "-8ug-2% 21.$11 4.$75
21.55$ 4.$72 +.+++1 "-9ov-2% 22.+"7 4.$7$
21.$11 4.$75 +.+++1 "-/e-3+ 22.322 4.$$1
22.+"7 4.$7$ +.+++1 "-May-3+ 22.5"% 4.$$3
22.322 4.$$1 +.+++1 "-8ug-3+ 22.$25 4.$$"
22.5"% 4.$$3 +.+++1 "-9ov-3+ 23.+$1 4.$$$
22.$25 4.$$" +.+++1 "-/e-31 23.33" 4.$$%23.+$1 4.$$$ +.+++1 "-May-31 23.5$3 4.$%1
23.33" 4.$$% +.+++1 "-8ug-31 23.$3% 4.$%2
23.5$3 4.$%1 +.+++1 "-9ov-31 24.+%4 4.$%4
23.$3% 4.$%2 +.++++ "-/e-32 24.35+ 4.$%5
24.+%4 4.$%4 +.++++ "-May-32 24."++ 4.$%"
24.35+ 4.$%5 +.++++ "-8ug-32 24.$5" 4.$%"
24."++ 4.$%" +.++++ $-9ov-32 25.117 4.$%7
24.$5" 4.$%" +.++++ 7-/e-33 25.3"% 4.$%7
25.117 4.$%7 +.++++ "-May-33 25."14 4.$%725.3"% 4.$%7 +.++++ $-8ug-33 25.$75 4.$%7
25."14 4.$%7 +.++++ 7-9ov-33 2".12$ 4.$%7
25.$75 4.$%7 +.++++ "-/e-34 2".3$1 4.$%7
2".12$ 4.$%7 +.++++ $-May-34 2"."33 4.$%"
2".3$1 4.$%7 +.++++ 7-8ug-34 2".$$" 4.$%"
2"."33 4.$%" +.++++ "-9ov-34 27.13% 4.$%5
2".$$" 4.$%" +.++++ "-/e-35 27.3%4 4.$%4
27.13% 4.$%5 +.++++ 7-May-35 27."44 4.$%4
27.3%4 4.$%4 +.++++ "-8ug-35 27.$%7 4.$%3
27."44 4.$%4 +.++++ "-9ov-35 2$.153 4.$%2
27.$%7 4.$%3 +.++++ "-/e-3" 2$.4+$ 4.$%1
2$.153 4.$%2 +.++++ "-May-3" 2$."5$ 4.$%+
2$.4+$ 4.$%1 +.++++ "-8ug-3" 2$.%14 4.$$%
2$."5$ 4.$%+ +.++++ "-9ov-3" 2%.1"% 4.$$$
2$.%14 4.$$% +.++++ "-/e-37 2%.425 4.$$7
2%.1"% 4.$$$ +.++++ "-May-37 2%."72 4.$$"
2%.425 4.$$7 +.++++ "-8ug-37 2%.%2$ 4.$$5
2%."72 4.$$" +.++++ "-9ov-37 3+.1$3 4.$$4
2%.%2$ 4.$$5 +.++++ $-/e-3$ 3+.444 4.$$23+.1$3 4.$$4 +.++++
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3+.444 4.$$2
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1
+.%%21%%
+.%$45$2
+.%77757
+.%713%7
+.%"53$3
+.%5%112
+.%525$"
+.%4545$
+.%3$24%
+.%3+114
+.%21421
+.%127"4
+.%+4277
+.$%5+$++.$$"+33
+.$7"$3+
+.$"74"+
+.$57%3%
+.$4$1$1
+.$3$3+$
+.$2$"57
+.$1$"23
+.$+$572+.7%$542
+.7$$$%3
+.77$%$"
+.7"%15"
+.75%411
+.75++7+
+.74+47"
+.73+%14
+.72115+
+.711%$+
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+.7+21%%
+."%2775
+."$3432
+."741%%
+.""5+77+."5"+""
+."47+7+
+."3$37$
+."2%"%7
+."21+2"
+."1245%
+."+42"2
+.5%5$$"
+.5$7"+2
+.57%4+%+.57147"
+.5"345%
+.555537
+.547547
+.54+244
+.532"27
+.524%57
+.517"41
+.51+"71+.5+334"
+.4%"37+
+.4$%511
+.4$277+
+.47"145
+.4"%"32
+.4"315%
+.45"%33
+.45+"75
+.444521
+.43$4"%
+.4327+$
+.42"$5+
+.421+$7
+.41541$
+.41++1$
+.4+4525
+.3%%12+
+.3%3"$4+.3$$72%
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+.3$357+
+.37$3$1
+.373434
+.3"$5"2
+.3"37"3+.35%+37
+.354332
+.34%7%%
+.3452$"
+.34+7%4
+.33"371
+.33215$
+.327$7+
+.323"5+
+.31%4%"+.31553$
+.311512
+.3+754%
+.3+3"4%
+.2%%$%3
+.2%"114
+.2%231"
+.2$$"%7
+.2$5251+.2$1"2%
+.27$17"
+.27477"
+.27142"
+.2"$12"
+.2"4$73
+.2"1"32
+.25$5+"
+.2553$%
+.2522$1
+.24%21"
+.24"25"
+.243271
+.24+325
+.237417
+.234"3%
+.231$+3
+.22%++2
+.22"17"
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7.2: Pricing an in-arrears swap
Today's date: 4-Feb-08
Swap structure
Maturity 5 years
Principa 1++ m :S
To receive 3m ;ior in-arrears
To pay 3m ;ior < 7.2 in advance
Swap ay *0= *mpied Swap Swap
dates count d!s /orward cas'!ows cas'!ows
>8ct?3"+@ rates receive side pay side
>miions@ >miions@
A1B A2B A3B
"-/e-+$ 1
"-May-+$ +.25+ +.%%21%$$37 3.145 +.75"$ -+.$+51"-8ug-+$ +.25" +.%$45$1$5$ 3.+27 +."%$+ -+.7%2%
"-9ov-+$ +.25" +.%77757275 2.731 +."54$ -+.7172
"-/e-+% +.25" +.%713%7+13 2.5"2 +."43% -+."74+
"-May-+% +.247 +.%"53$3272 2.52+ +."325 -+."415
"-8ug-+% +.25" +.%5%11224 2.55$ +."$52 -+."731
"-9ov-+% +.25" +.%525$5575 2."$1 +.737% -+.7+44
$-/e-1+ +.2"1 +.%4545757" 2.$$7 +.$3+1 -+.773"
"-May-1+ +.242 +.%3$24$$"7 3.17% +.$27+ -+.7$"5
"-8ug-1+ +.25" +.%3+114445 3.422 +.%234 -+.$%3$
$-9ov-1+ +.2"1 +.%2142+734 3."13 +.%7%7 -+.%"32
7-/e-11 +.253 +.%127"3%5$ 3.752 +.%7+5 -+.%"74
"-May-11 +.244 +.%+427714 3.$3% +.%"1% -+.%5"%
$-8ug-11 +.2"1 +.$%5+$+33" 3.%35 1.+547 -1.+471
7-9ov-11 +.253 +.$$"+33334 4.+3% 1.+4%" -1.+4+1
"-/e-12 +.253 +.$7"$3+2%5 4.152 1.+$+2 -1.+"$"
7-May-12 +.253 +.$"745%744 4.273 1.1+%7 -1.+%%2
"-8ug-12 +.253 +.$57%3%2% 4.3%+ 1.137% -1.12$7
"-9ov-12 +.25" +.$4$1$135% 4.5+2 1.177$ -1.1"%7
"-/e-13 +.25" +.$3$3+7$+$ 4."+% 1.2+3% -1.1%7+
"-May-13 +.247 +.$2$"5"$34 4.711
Present aue D
Spread etween !irst and ast rates 7.8!
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7.!: "reating a c#sto$ised a%erage-rate swap
Today's date: 4-Feb-08
Structure of Debt
Next payment Margin Last fixing Last fixing
Date Principal >p@ date Weights
2+-/e-+$ 1++ 25 E9?8 3.325+ 2$.57
7-Mar-+$ 5+ 35 E9?8 3.315+ 14.2%
21-Mar-+$ 75 3+ E9?8 3.2%75 21.43
3-8pr-+$ 1++ 25 E9?8 3.2725 2$.57
17-8pr-+$ 25 5+ E9?8 3.225+ 7.14
Debt ) Debt , Debt
ates ay /s *mpied ates ay /s *mpied ates ay
count 3mo. count 3mo. count
>8ct?3"+@ /orward >8ct?3"+@ /orward >8ct?3"+@
rates rates
E9?8 E9?8 E9?8
A1B A2B A3B A4B A5B A"B A7B
"-/e-+$ 1 "-/e-+$ 1 "-/e-+$
2+-/e-+$ E9?8 +.%%$755 3.325++ 7-Mar-+$ E9?8 +.%%735" 3.315++ 21-Mar-+$ E9?8
3 2+-May-+$ +.25+ +.%%1+17 3.123 %-Gun-+$ +.2"1 +.%$%342 3.1+2 23-Gun-+$ +.2"1
" 2+-8ug-+$ +.25" +.%$35+2 2.%%+ $-Sep-+$ +.253 +.%$2+"+ 2.%33 22-Sep-+$ +.253
% 2+-9ov-+$ +.25" +.%7"754 2.7+3 $-ec-+$ +.253 +.%754$3 2.""7 22-ec-+$ +.253
12 2+-/e-+% +.25" +.%7+427 2.551 %-Mar-+% +.253 +.%"%2"2 2.53% 23-Mar-+% +.253
15 2+-May-+% +.247 +.%"4414 2.522 $-Gun-+% +.253 +.%"31+7 2.52$ 22-Gun-+% +.253
1$ 2+-8ug-+% +.25" +.%5$113 2.573 7-Sep-+% +.253 +.%5"$31 2.5%5 21-Sep-+% +.253
21 2+-9ov-+% +.25" +.%5152" 2.7+% 7-ec-+% +.253 +.%5+23% 2.744 21-ec-+% +.253
24 22-/e-1+ +.2"1 +.%443+7 2.%2$ $-Mar-1+ +.253 +.%43153 2.%72 22-Mar-1+ +.253
27 2+-May-1+ +.242 +.%37+25 3.21" 7-Gun-1+ +.253 +.%35445 3.2"+ 21-Gun-1+ +.253
3+ 2+-8ug-1+ +.25" +.%2$$3" 3.45+ 7-Sep-1+ +.25" +.%271$3 3.4$7 21-Sep-1+ +.25"
33 22-9ov-1+ +.2"1 +.%2+1+4 3."34 7-ec-1+ +.253 +.%1$"$7 3."5% 21-ec-1+ +.253
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7.4: "reating a co$po#nd swap
Today's date: 4-Feb-08
Maturity 5 yrs
Principal roercoaster
#loating mo. ;ior < ,* bp
#ixed (-!)+ ann 8ct?3"+ .ompound margin
#ixed rate
ates ay /s 9otiona *mpied /oating /i(ed 9et Compounded
count Principa 3mo. Pay eceive C/s /oating
>8ct?3"+@ /orward side side Pay
rates side
"-/e-+$ 1 "-/e-+$
"-May-+$ +.25+ +.%%21%% 5+ 3.145 -+.4244 -+.4244 "-May-+$ -+.4244
"-8ug-+$ +.25" +.%$45$2 5+ 3.+27 -+.41$$ -+.41$$ "-8ug-+$ -+.$4"1
"-9ov-+$ +.25" +.%77757 5+ 2.731 -+.3$+% -+.3$+% "-9ov-+$ -1.2324
"-/e-+% +.25" +.%713%7 5+ 2.5"2 -+.35%3 1.%+15 1.5422 "-/e-+% -1.5%%+ 1
"-May-+% +.247 +.%"53$3 75 2.52+ -+.513" -+.513" "-May-+% -+.513"
"-8ug-+% +.25" +.%5%112 75 2.55$ -+.53$3 -+.53$3 "-8ug-+% -1.+54%
"-9ov-+% +.25" +.%525$" 75 2."$1 -+.5"1$ -+.5"1$ "-9ov-+% -1."232$-/e-1+ +.2"1 +.%4545$ 75 2.$$7 -+."144 2.$"++ 2.245" $-/e-1+ -2.24$$ 2
"-May-1+ +.242 +.%3$24% 1++ 3.17% -+.$2$7 -+.$2$7 "-May-1+ -+.$2$7
"-8ug-1+ +.25" +.%3+114 1++ 3.422 -+.%3$5 -+.%3$5 "-8ug-1+ -1.773%
$-9ov-1+ +.2"1 +.%21421 1++ 3."13 -1.++$$ -1.++$$ $-9ov-1+ -2.7%$3
7-/e-11 +.253 +.%127"4 1++ 3.752 -1.+11" 3.7$22 2.77+" 7-/e-11 -3.$34" 3
"-May-11 +.244 +.%+4277 75 3.$3% -+.74%7 -+.74%7 "-May-11 -+.74%7
$-8ug-11 +.2"1 +.$%5+$+ 75 3.%35 -+.$1%" -+.$1%" $-8ug-11 -1.57"5
7-9ov-11 +.253 +.$$"+33 75 4.+3% -+.$132 -+.$132 7-9ov-11 -2.4+4$
"-/e-12 +.253 +.$7"$3+ 75 4.152 -+.$34" 2.$3"" 2.++21 "-/e-12 -3.2"31 2
7-May-12 +.253 +.$"74"+ 5+ 4.273 -+.5717 -+.5717 7-May-12 -+.5717
"-8ug-12 +.253 +.$57%3% 5+ 4.3%+ -+.5$"4 -+.5$"4 "-8ug-12 -1.1"41
"-9ov-12 +.25" +.$4$1$1 5+ 4.5+2 -+."+72 -+."+72 "-9ov-12 -1.7$4+
"-/e-13 +.25" +.$3$3+$ 5+ 4."+% -+."2+$ 1.%+15 1.2$+" "-/e-13 -2.4247 1
P +.++++ P
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-(* Pricing a .onstant Maturity S/ap " using sa( 0eference 0ate
Today's date !"#eb"$%
Maturity ! year swap
Principa, )$$ miion :S
o pay, 1 mo ;ior
o receive, * year CMS pus "2)($% p margin
Swap day ;ior H *mpied ;ior *mpied CMSates count /s ;ior cas'!ows CMS Cas'!ow
>act?3"+@ discounted
A1B A2B A3B A4B A5B A"B A7
"-/e-+$ 1 + I I
"-8ug-+$ +.5+" +.%$45$2 +.4%77"1 I 3.+%7 -1J5"5J%5$.33 I 3.474 1J75"J245.75 -4
"-/e-+% +.511 +.%713%7 +.%%4253 I 2."5" -1J357J3+7.5$ I 3."33 1J$5"J77".31 -4
"-8ug-+% +.5+3 +.%5%112 1.47"473 I 2.54$ -1J2$+J$4$.2$ I 3.$5$ 1J%3%J%12.2% -4
$-/e-1+ +.517 +.%4545$ 1.%"4%5% I 2.7%5 -1J444J23$.71 I 4.1+37 2J12+J225.2% -4
"-8ug-1+ +.4%7 +.%3+114 2.427433 I 3.31$ -1J"4%J5%".+5 I 4.33$ 2J15"J$+3.+5 -4
7-/e-11 +.514 +.%127"4 2.$%"4%2 I 3."%% -1J%++J$73.41 I 4.51" 2J32+J%25.5+ -4
$-8ug-11 +.5+" +.$%5+$+ 3.34%++5 I 3.%+$ -1J%75J"4".33 I 4."71 2J3"1J324.5$ -4
"-/e-12 +.5+" +.$7"$3+ 3.7%22%1 I 4.117 -2J+$1J3"5.2" I 4.$1" 2J434J$23.17 -4
"-8ug-12 +.5+" +.$57%3% 4.22"+27 I I"-/e-13 +.511 +.$3$3+$ 4."544%" I I
"-8ug-13 +.5+3 +.$1$"23 5.+""+$1 I I
"-/e-14 +.511 +.7%$542 5.474225 I I
"-8ug-14 +.5+3 +.77$%$" 5.$"5$$2 I I
"-/e-15 +.511 +.75%411 ".254+25 I I
"-8ug-15 +.5+3 +.74+47" "."2"32+ I I
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-
7/25/2019 Ch 7 Mismatch Swaps
17/27
-(% Pricing a Participation .onstant Maturity S/ap " using sa( 0eference 0ate
Today's date !"#eb"$%
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-
7/25/2019 Ch 7 Mismatch Swaps
18/27
-(2 4stimating the con5exity effect of a 6eneric 70S using for
Swap maturity $ years
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-
7/25/2019 Ch 7 Mismatch Swaps
19/27
"-9ov-15 +.25" 5.11% +.73+%14
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7/25/2019 Ch 7 Mismatch Swaps
20/27
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7/25/2019 Ch 7 Mismatch Swaps
21/27
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7/25/2019 Ch 7 Mismatch Swaps
22/27
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".275 +.32+"1% 4.275 +.471535
".2"3 +.3155"$ 4.2"3 +.4""453
".252 +.31+5++ 4.252 +.4"1331
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Conve(ity e!!ect !or di!!erent maturities
*mpact o! 1++p parae s'i!t
Maturity :S :S per yr p pa.
2 451 225 +.+2
5 2J413 4$3 +.+5
1+ 7J%5% 7%" +.+$
15 14J$74 %%2 +.1+
2+ 22J2"2 1J113 +.11
25 2%J"%1 1J1$$ +.12
3+ 3"J%54 1J232 +.12
+
+.%%7"1$
&(tract !rom :S curve, 15 /eruary 2++$
Midpoints
1.%$1171 2+ 5.+$$ 5.+5$ 5.+73
25 5.143 5.113 5.12$
3+ 5.1"3 5.133 5.14$
4+ 5.1"$ 5.13$ 5.153
2.%3244% 5+ 5.15$ 5.12$ 5.143
3.$554$2
4.7517$%
5."11$2$
".437%"2
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7.2347"1
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11.313+%
11.$$$4$
12.43%$$
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13.4731$
13.%5$$5
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14.42+3"
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1".$2775
17.17555
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17.$33+$
1$.144""
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-()$ Pricing a .onstant Maturity S/ap ho/ does it change in 8alue for a shift in the #or/ard .ur5e
Today's date !"#eb"$%
&(ampe, 4 year swap
o pay, " mo ;ior
o receive, 5 year CMS pus -%1.+$p margin Ne/ 8alue after shift 9per bp: "$*(!21
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Swap day d!s I *mpied I ;ior new new ;ior CMS CM
ates count intpoated I /8 I up / H cas'!ows yied Cas'!ow
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