6: Critique on CDS
CDS pricing theory and the recovery mechanisms seem fairly standard when we read about it…
2: Repo vs SLB
Comparison between ‘Standard’ Market Repos and Securities Lending/Borrowing…
3: Repo Pricing
Repo cash flows can be mimicked by going long a bond in spot and selling futures on it…
4: Asset & Liability Swap
Asset Swaps is a term used to describe a ‘swapped’ return whereby an investor in a cash product desires…
5: Collateral Swaps & TRS
Collateral Swaps is the exchange of two different assets for any given tenor. The lender of the lower quality collateral generally pays a spread…
6: Carry and Roll
Probably one of the most overused terms in financial markets across asset classes is carry and roll, often used interchangeably.
1: Interest Rate Swaps – Pricing & Valuation
I’ll share the practical workings of interest rate swaps, cross currency swaps…
2: Unwind Value of an IRS
swap unwinds are computed as the present value of the cash flows (positive or negative) reflected in the difference…
3: IRS – Crucial Other Considerations (CVA, FVA, …)
Other considerations while entering into a swap are counterparty credit risk and funding of cash flows…
4: Cross Currency Swaps … How is it Different from an IRS
A variation of interest rate swaps, cross currency one can think of a CCS contract…
