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VaR & Interest Rate Swap

This topic has 1 reply, 2 voices, and was last updated 10 years ago by John Moffat.

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October 30, 2015 at 4:10 am #279637
zhaoyunyi
Member
- Topics: 21
- Replies: 6
Sir,
For BPP exercise book Q58 Katmai Co, I have several questions about it.
1. what is vanilla interest rate swap? It says the swap rates are quoted at 5.25-5.40, what does this mean? which number I should use?
2. For VaR calculation, I don’t quite understand how it is calculated? Can you explain how it is done.
Thank you
October 30, 2015 at 8:32 am #279662
John Moffat
Keymaster
- Topics: 57
- Replies: 54790
We have free lectures on both swaps and on value at risk on this website (you can find them from the main P4 page).
I am sorry, but I cannot type out all of the lectures here 🙂
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