ch 4 non-generic swaps

7/25/2019 Ch 4 Non-generic Swaps

1/31

Worksheet Title

4.1 Market data

4.2 Pricing of Non-Generic Swap - 1/5 Forward St

4. Pricing of Non-Generic Swap - 1/5 Forward St



4.% Pricing of Non-Generic Swap - 1/5 Forward St

4.( Pricing of Non-Generic Swap - 5 )ear !#ortisi

4.* Pricing of Non-Generic Swap - 5 )ear !#ortisi4.+ Pricing of Non-Generic Swap - 5 )ear !#ortisi

4.1, Pricing a non-generic swap using Hedging Swa

4.11 Pricing a non-generic swap using Notiona$ Prin

4.12 Pricing a non-generic swap using "#p$ied For

4.1 Pricing a non-generic swap using "#p$ied For

4.14 New Market data for a$uations4.15 a$uing a non-generic swap using NP!

4.1% a$uing a non-generic swap using "#p$ied For


2/31

rting - using Hedging Swaps

rting - using NP!

rting - using "#p$ied Forwards

rting - using a For#u$a

rting - using t&e 'eference rate #et&od and "#p$ied Forwards

ng - using Hedging Swaps

ng - using NP! ng - using "#p$ied Forwards

ps

cipa$ !#ounts

ards

ards and forward a$uing

ards


3/31

4.1: Market data

oda)0s date 4-Fe-,*

Sett$e#ent 2

3- rates Gradient

, .21%5 ,.,,,,,, %-Fe-,*

,.,1+ .21%5 -,.,,%4 %-Ma)-,*

,.,*1 .1((2 -,.,,2%25 %-!ug-,*

,.25, .12( -,.,,21( %-No-,*

,.5,% .,(5 -,.,,4%21 %-Fe-,+

,.(%1 2.+554 -,.,,+51 %-Ma)-,+

1.,1( 2.*544 -,.,,2(1, %-!ug-,+

1.2%4 2.(*(4 -,.,,15%2 %-No-,+

1.51+ 2.(4(5 -,.,,,42% *-Fe-1,

1.((5 2.(%% ,.,,,%*( %-Ma)-1,

2.,% 2.(54% ,.,,1*11 %-!ug-1,

2.2(* 2.(+* ,.,,24,4 *-No-1,

2.5 2.*5+* ,.,,2%% (-Fe-11

2.(+4 2.+2*% ,.,,2%44 %-Ma)-11

.,4( 2.++54 ,.,,251, *-!ug-11

.2+2 .,5%* ,.,,2415 (-No-11

.55 .11++ ,.,,2%2 %-Fe-12

.*,% .1(+% ,.,,24 (-Ma)-12

4.,5* .2** ,.,,24( %-!ug-12

4.11 .2+*1 ,.,,2+ %-No-12

4 5%4 5( , ,,221 % F 1


4/31

*.122 4.,24+ ,.,,144( *-!ug-1%

*.%( 4.,%,2 ,.,,144 (-No-1%

*.%2* 4.,+(( ,.,,14,4 %-Fe-1(

*.**1 4.12 ,.,,15% *-Ma)-1(+.1 4.1%(5 ,.,,12+ (-!ug-1(

+.*% 4.2,,1 ,.,,12 %-No-1(

+.%+ 4.21 ,.,,11(* %-Fe-1*

+.*+2 4.2%11 ,.,,1125 (-Ma)-1*

1,.14( 4.2*++ ,.,,1,(( %-!ug-1*

1,.+( 4.1%* ,.,,1, %-No-1*

1,.%5, 4.42+ ,.,,,++ %-Fe-1+

1,.+,% 4.%*2 ,.,,,+5( %-Ma)-1+

11.1%1 4.+2( ,.,,,+2( %-!ug-1+

11.4,* 4.415% ,.,,,*+( %-No-1+

11.%%4 4.4*5 ,.,,,*(2 %-Fe-2,

11.+1+ 4.4%,* ,.,,,*4+ %-Ma)-2,

12.1(5 4.4*25 ,.,,,*, %-!ug-2,

12.425 4.5, ,.,,,*,* %-No-2,

12.%*1 4.52+ ,.,,,(*% *-Fe-21

12.+% 4.544, ,.,,,(%1 %-Ma)-21

1.1+( 4.5%+ ,.,,,(+ %-!ug-21

1.4+ 4.5*1( ,.,,,(12 *-No-21

1.%+4 4.5+++ ,.,,,%*4 (-Fe-22

1.+5% 4.%1(* ,.,,,%5( %-Ma)-22

14.2,* 4.%44 ,.,,,%1 *-!ug-22

14.45 4.%4+* ,.,,,%,, (-No-22

14.(14 4.%%55 ,.,,,5(2 %-Fe-2

14.+%( 4.%*,, ,.,,,542 *-Ma)-2

15.21+ 4.%+( ,.,,,512 (-!ug-2

15 4(2 4 (,%% , ,,,4* % N 2


5/31

1+.,22 4.*2*5 ,.,,,21+ %-Ma)-2(

1+.2* 4.*4 ,.,,,2,+ %-!ug-2(

1+.525 4.*+ ,.,,,1+( *-No-2(

1+.(*1 4.*44 ,.,,,1*5 (-Fe-2*2,.,42 4.*4+2 ,.,,,1(% *-Ma)-2*

2,.2+4 4.*5% ,.,,,1%% (-!ug-2*

2,.54( 4.*5(* ,.,,,15( %-No-2*

2,.*,, 4.*%1* ,.,,,14* %-Fe-2+

21.,5 4.*%55 ,.,,,1+ (-Ma)-2+

21.,* 4.*%+1 ,.,,,1, %-!ug-2+

21.55* 4.*(2 ,.,,,122 %-No-2+

21.*11 4.*(54 ,.,,,11 %-Fe-,

22.,%( 4.*(* ,.,,,1,4 %-Ma)-,

22.22 4.**1, ,.,,,,+% %-!ug-,

22.5%+ 4.**4 ,.,,,,** %-No-,

22.*25 4.**5% ,.,,,,*, %-Fe-1

2.,*1 4.**(% ,.,,,,(2 %-Ma)-1

2.% 4.**+5 ,.,,,,%4 %-!ug-1

2.5* 4.*+11 ,.,,,,5% %-No-1

2.*+ 4.*+25 ,.,,,,4+ %-Fe-2

24.,+4 4.*+( ,.,,,,41 %-Ma)-2

24.5, 4.*+4* ,.,,,,4 %-!ug-2

24.%,, 4.*+5% ,.,,,,2( *-No-2

24.*5% 4.*+% ,.,,,,1+ (-Fe-

25.11( 4.*+%* ,.,,,,1 %-Ma)-

25.%+ 4.*+(1 ,.,,,,,% *-!ug-

25.%14 4.*+( -,.,,,,,1 (-No-

25.*(5 4.*+( -,.,,,,,( %-Fe-4

2%.12* 4.*+(1 -,.,,,,12 *-Ma)-4

2% *1 4 *+%* , ,,,,1( ( ! 4


6/31

2+.+2* 4.**4( -,.,,,,42 *-Fe-*

,.1* 4.**% -,.,,,,42

,.444 4.**25


7/31

3- rates 6Fs Forwards

1

,.25, .12( ,.++21++ ,.25, .145,,.5,% .,(5 ,.+*45*2 ,.25% .,2(2

,.(%1 2.+554 ,.+(((5( ,.25% 2.(12

1.,1( 2.*544 ,.+(1+( ,.25% 2.5%21

1.2%4 2.(*(4 ,.+%5* ,.24( 2.51+*

1.51+ 2.(4(5 ,.+5+112 ,.25% 2.55*5

1.((5 2.(%% ,.+525*% ,.25% 2.%*1,

2.,% 2.(54% ,.+4545* ,.2%1 2.**(4

2.2(* 2.(+* ,.+*24+ ,.242 .1(+2

2.5 2.*5+* ,.+,114 ,.25% .4222

2.(+4 2.+2*% ,.+21421 ,.2%1 .%14

.,4( 2.++54 ,.+12(%4 ,.25 .(52,

.2+2 .,5%* ,.+,42(( ,.244 .*+4

.55 .11++ ,.*+5,*, ,.2%1 .+5,

.*,% .1(+% ,.**%, ,.25 4.,+4

4.,5* .2** ,.*(%*, ,.25 4.1522

4.11 .2+*1 ,.*%(4%, ,.25 4.2(4

4.5%4 .5( ,.*5(++ ,.25 4.+,,

4.*1+ .41%% ,.*4*1*1 ,.25% 4.5,1*

5 ,(5 4(5 , **,* , 25% 4 %,**


8/31

*.%2* 4.,+(( ,.(,21++ ,.2%1 5.4(

*.**1 4.12 ,.%+2((5 ,.25 5.*1,

+.1 4.1%(5 ,.%*42 ,.25 5.4,*(

+.*% 4.2,,1 ,.%(41++ ,.25 5.41((+.%+ 4.21 ,.%%5,(( ,.25 5.425+

+.*+2 4.2%11 ,.%5%,%% ,.25 5.44

1,.14( 4.2*++ ,.%4(,(, ,.25% 5.44,2

1,.+( 4.1%* ,.%*(* ,.25, 5.44%

1,.%5, 4.42+ ,.%2+%+( ,.25 5.45+

1,.+,% 4.%*2 ,.%21,2% ,.25% 5.4%2

11.1%1 4.+2( ,.%1245+ ,.25% 5.4(4,11.4,* 4.415% ,.%,42%2 ,.24( 5.4*%%

11.%%4 4.4*5 ,.5+5**% ,.25% 5.5,,%

11.+1+ 4.4%,* ,.5*(%,2 ,.25% 5.51%

12.1(5 4.4*25 ,.5(+4,+ ,.25% 5.55

12.425 4.5, ,.5(14(% ,.25, 5.5522

12.%*1 4.52+ ,.5%45+ ,.25% 5.5%((

12.+% 4.544, ,.5555( ,.25% 5.5(++

1.1+( 4.5%+ ,.54(54( ,.2%1 5.5**%

1.4+ 4.5*1( ,.54,244 ,.242 5.5++

1.%+4 4.5+++ ,.52%2( ,.25% 5.5+%2

1.+5% 4.%1(* ,.524+5( ,.2%1 5.5+52

14.2,* 4.%44 ,.51(%41 ,.25 5.5+1,

14.45 4.%4+* ,.51,%(1 ,.244 5.5*%

14.(14 4.%%55 ,.5,4% ,.2%1 5.5(

14.+%( 4.%*,, ,.4+%(, ,.25 5.55+*

15.21+ 4.%+( ,.4*+511 ,.25 5.54

15.4(2 4.(,%% ,.4*2((, ,.25 5.52*

15.(25 4.(1** ,.4(%145 ,.25 5.5,4*

15 +(* 4 (,4 , 4%+%2 , 25 5 4*%


9/31

1+.525 4.*+ ,.**(2+ ,.242 5.2(51

1+.(*1 4.*44 ,.*5(, ,.25% 5.2%2

2,.,42 4.*4+2 ,.(**1 ,.2%1 5.251(

2,.2+4 4.*5% ,.(44 ,.25 5.24,%2,.54( 4.*5(* ,.%*5%2 ,.25 5.2,,

2,.*,, 4.*%1* ,.%(% ,.25 5.21*+

21.,5 4.*%55 ,.5+,( ,.25 5.2,(5

21.,* 4.*%+1 ,.542 ,.25% 5.1+5(

21.55* 4.*(2 ,.4+(++ ,.25, 5.1*5

21.*11 4.*(54 ,.452*% ,.25 5.1(,+

22.,%( 4.*(* ,.4,(+4 ,.25% 5.15*,22.22 4.**1, ,.%(1 ,.25% 5.144(

22.5%+ 4.**4 ,.215* ,.24( 5.11,

22.*25 4.**5% ,.2(*(, ,.25% 5.11(,

2.,*1 4.**(% ,.2%5, ,.25% 5.1,2%

2.% 4.**+5 ,.1+4+% ,.25% 5.,**,

2.5* 4.*+11 ,.155* ,.24( 5.,(2+

2.*+ 4.*+25 ,.11512 ,.25% 5.,5(%

24.,+4 4.*+( ,.,(54+ ,.25% 5.,42,

24.5, 4.*+4* ,.,%4+ ,.25% 5.,2%1

24.%,, 4.*+5% ,.2++*+ ,.25, 5.,,+*

24.*5% 4.*+% ,.2+%114 ,.25% 4.++

25.11( 4.*+%* ,.2+21% ,.2%1 4.+(%5

25.%+ 4.*+(1 ,.2**%+( ,.25 4.+5+4

25.%14 4.*+( ,.2*5251 ,.244 4.+421

25.*(5 4.*+( ,.2*1%2+ ,.2%1 4.+25%

2%.12* 4.*+(1 ,.2(*1(% ,.25 4.+1,1

2%.*1 4.*+%* ,.2(4((% ,.25 4.*+5%

2%.% 4.*+%4 ,.2(142% ,.25 4.**21

2% **% 4 *+5* , 2%*12% , 25 4 *%+5


10/31

,.444 4.**25 ,.22%1(% ,.2%1 4.(*52


11/31

Generic swaps

12 #o. as& 2.*+%2 2.(+5,

.,5,

4 .2(5,

5 .5,5,

% .(15,

( .**5,

* 4.,25,

+ 4.155,

1, 4.2%5,


12/31


13/31


14/31


15/31

4.2: Pricing of Non-Generic Swap - 1! "orward Starting - #sing $edging Swaps

Toda%&s date 4-"e'-()

Notiona$ principa$ 1,, 7S6

Fi8ed rate to receie *.+,1 ann

F$oating rate to pa) 9uarter$)

urrent 5 )ear swap rate .5,5 6ifference : %,.*(5 p

urrent 1 )ear swap rate 2.*+% ;sti#ate : .%5(

"nterpo$ated 6F0s !ct/%, F$oating side Fi8ed 'ep$ace f$oating Net

6ates Pa) 5 )r 'eceie 1 )r cas&f$ow

521 -%1*>*+%

%-Ma)-,+ ,.+%5* ,.24( -?ior ,

%-!ug-,+ ,.+5+112 ,.25% -?ior ,

%-No-,+ ,.+525*% ,.25% -?ior ,

*-Fe-1, ,.+4545* ,.2%1 -?ior >(42>1+% ->5(>15 1%+>,4

%-Ma)-1, ,.+*24+ ,.242 -?ior ,

%-!ug-1, ,.+,114 ,.25% -?ior ,

*-No-1, ,.+21421 ,.2%1 -?ior ,

(-Fe-11 ,.+12(%4 ,.25 -?ior >(11>%,% ->54>+44 1%(>%%2%-Ma)-11 ,.+,42(( ,.244 -?ior ,

*-!ug-11 ,.*+5,*, ,.2%1 -?ior ,

(-No-11 ,.**%, ,.25 -?ior ,

%-Fe-12 ,.*(%*, ,.25 -?ior >(11>%,% ->54>+44 1%(>%%2

(-Ma)-12 ,.*%(4%, ,.25 -?ior ,

%-!ug-12 ,.*5(++ ,.25 -?ior ,

%-No-12 ,.*4*1*1 ,.25% -?ior ,

%-Fe-1 ,.**,* ,.25% -?ior >(1>+++ ->5%>41( 1%*>5*

6iscounted a$ue : ,


16/31

4.*: Pricing of Non-Generic Swap - 1! "orward Starting - #sing NP



Fi8ed rate to receie *.+,1 annF$oating rate to pa) 9uarter$)

"nterpo$ated 6F0s !ct/%, F$oating side Fi8ed 'ep$ace Net

dates f$oating cas&f$ow

,,,>,,, -1,,>,,,>,,,

%-Ma)-,+ ,.+%5* ,.24( -?ior ,

%-!ug-,+ ,.+5+112 ,.25% -?ior ,

%-No-,+ ,.+525*% ,.25% -?ior ,

*-Fe-1, ,.+4545* ,.2%1 -?ior >(42>1+% >(42>1+%

%-Ma)-1, ,.+*24+ ,.242 -?ior ,

%-!ug-1, ,.+,114 ,.25% -?ior ,

*-No-1, ,.+21421 ,.2%1 -?ior ,

(-Fe-11 ,.+12(%4 ,.25 -?ior >(11>%,% >(11>%,%

%-Ma)-11 ,.+,42(( ,.244 -?ior ,*-!ug-11 ,.*+5,*, ,.2%1 -?ior ,

(-No-11 ,.**%, ,.25 -?ior ,

%-Fe-12 ,.*(%*, ,.25 -?ior >(11>%,% >(11>%,%

(-Ma)-12 ,.*%(4%, ,.25 -?ior ,

%-!ug-12 ,.*5(++ ,.25 -?ior ,

%-No-12 ,.*4*1*1 ,.25% -?ior ,

%-Fe-1 ,.**,* ,.25% -?ior - 1,,>,,,>,,, >(1>+++ 1,,>,,,>,,, 1,>(1>+++

6iscounted a$ue : ,


17/31

4.4: Pricing of Non-Generic Swap - 1! "orward Starting - #sing /0plied "orwards





"nterpo$ated 6F0s !ct/%, Fi8ed Net !nnua$

dates "#p$ied as&f$ows cas&f$ow forward

forwards rates

+*

%-!ug-,+ ,.+5+112 ,.25% 2.55*5 -%5>*( -%5>*(

%-No-,+ ,.+525*% ,.25% 2.%*1, -%*5>15 -%*5>15

*-Fe-1, ,.+4545* ,.2%1 2.**(4 -(5>+21 >(42>1+% 2>+**>2(% )ear 2 2.%+1

%-Ma)-1, ,.+*24+ ,.242 .1(+2 -(%*>15 -(%*>15

%-!ug-1, ,.+,114 ,.25% .4222 -*(4>5%1 -*(4>5%1

*-No-1, ,.+21421 ,.2%1 .%14 -+4>512 -+4>512

(-Fe-11 ,.+12(%4 ,.25 .(52, -+4*>41 >(11>%,% 2>(%>1+2 )ear .542%-Ma)-11 ,.+,42(( ,.244 .*+4 -+*>52, -+*>52,

*-!ug-11 ,.*+5,*, ,.2%1 .+5, -1>,2(>4*4 -1>,2(>4*4

(-No-11 ,.**%, ,.25 4.,+4 -1>,21>,%* -1>,21>,%*

%-Fe-12 ,.*(%*, ,.25 4.1522 -1>,4+>5*, >(11>%,% 2>%%2>,2% )ear 4 4.,5

(-Ma)-12 ,.*%(4%, ,.25 4.2(4 -1>,*,>22+ -1>,*,>22+

%-!ug-12 ,.*5(++ ,.25 4.+,, -1>1,+>%*+ -1>1,+>%*+

%-No-12 ,.*4*1*1 ,.25% 4.5,1* -1>15,>45 -1>15,>45

%-Fe-1 ,.**,* ,.25% 4.%,** -1>1((>(+5 >(1>+++ 2>554>2,4 )ear 5 4.52,

6iscounted a$ue : ,

!erage oer ,/5 )ears .54,%

!erage oer 1/5 )ears .(,1(

6ifference ,.1%11


18/31

4.!: Pricing of Non-Generic Swap - 1! "orward Starting - #sing a "or0#la





"nterpo$ated 6F0s !ct/%,dates

%-Fe-,* 1

%-Fe-,+ ,.+(1+( 1.,1(

*-Fe-1, ,.+4545* 1.,1+

(-Fe-11 ,.+12(%4 1.,11

%-Fe-12 ,.*(%*, 1.,11

%-Fe-1 ,.**,* 1.,1(

4.%1

,.+**

@5

@1


19/31

4.+: Pricing of Non-Generic Swap - 1! "orward Starting - #sing the eference rate 0ethod and /0plied "orwards



Fi8ed rate to receie *.+44 ann


6ifference -2.+! p

Swap 6F0s #ont&s 6F0s !ct/%, Fi8ed Net

dates period dates for forward "#p$ied fi8ing ?engt& of ti#e as&f$ows cas&f$ow

rate of forwards for cas&f$ow

(15>1*4 2>+%1>2%

%-Ma)-1, ,.+*24+ %-!ug-1, ,.+,114 ,.25% .4222 ,.242 -((,>+4 -((,>+4

%-!ug-1, ,.+,114 *-No-1, ,.+21421 ,.2%1 .%14 ,.25% -*(4>5%1 -*(4>5%1

*-No-1, ,.+21421 *-Fe-11 ,.+12%%+ ,.25% .(525 ,.2%1 -+4>512 -+4>512

(-Fe-11 ,.+12(%4 +-Ma)-11 ,.+,+*( ,.25 .*411 ,.25 -+4*>5% >(5>4, 2>(*%>*+4

%-Ma)-11 ,.+,42(( *-!ug-11 ,.*+5,*, ,.2%1 .+5, ,.244 -+*>+ -+*>+

*-!ug-11 ,.*+5,*, *-No-11 ,.**5+ ,.25% 4.,4,2 ,.2%1 -1>,2(>4*4 -1>,2(>4*4

(-No-11 ,.**%, (-Fe-12 ,.*(%(2* ,.25% 4.151 ,.25 -1>,21>2(2 -1>,21>2(2

%-Fe-12 ,.*(%*, (-Ma)-12 ,.*%(4%, ,.25 4.2(4 ,.25 -1>,4+>*11 >(5>4, 2>%*5>%1+

(-Ma)-12 ,.*%(4%, (-!ug-12 ,.*5(*4 ,.25% 4.+,* ,.25 -1>,*,>22+ -1>,*,>22+

%-!ug-12 ,.*5(++ %-No-12 ,.*4*1*1 ,.25% 4.5,1* ,.25 -1>1,+>*++ -1>1,+>*++

%-No-12 ,.*4*1*1 %-Fe-1 ,.**,* ,.25% 4.%,** ,.25% -1>15,>45 -1>15,>45

%-Fe-1 ,.**,* ,.25% -1>1((>(+5 >(15>1*4 2>5(>**

6iscounted a$ue : -1


20/31

4.,: Pricing of Non-Generic Swap - ! %ear 0ortising - #sing $edging Swaps


Notiona$ principa$ 1,, 7S6 stepping down ) 2, # pa.

Fi8ed rate to receie *.2( ann

F$oating rate to pa) , 9uarter$)

!ppro8i#ation *.214

Hedging Swaps - to pa) fi8ed

"nterpo$ated 6F0s !ct/%, NP! A#B F$oating side Fi8ed #aturit) :C 1 )r 2 )r )r 4 )r 5 )rdates #argin rate :C 2.*+% 2.(+5, .,5, .2(5, .5,5,

NP! :C 2, 2, 2, 2, 2,

%*

%-Ma)-,+ ,.+%5* ,.24( *, -?ior ,

%-!ug-,+ ,.+5+112 ,.25% *, -?ior ,%-No-,+ ,.+525*% ,.25% *, -?ior ,

*-Fe-1, ,.+4545* ,.2%1 %, -?ior , 2>%1%>+% - 5%+>*%+ - %1*>*, - %%(>(% - (14>%1

%-Ma)-1, ,.+*24+ ,.242 %, -?ior ,

%-!ug-1, ,.+,114 ,.25% %, -?ior ,

*-No-1, ,.+21421 ,.2%1 %, -?ior ,

(-Fe-11 ,.+12(%4 ,.25 4, -?ior , 1>+4%>%5* - %1>(44 - %%2>2(* - (,*>(*+

%-Ma)-11 ,.+,42(( ,.244 4, -?ior ,

*-!ug-11 ,.*+5,*, ,.2%1 4, -?ior ,

(-No-11 ,.**%, ,.25 4, -?ior ,

%-Fe-12 ,.*(%*, ,.25 2, -?ior , 1>2+(>((2 - %%2>2(* - (,*>(*+(-Ma)-12 ,.*%(4%, ,.25 2, -?ior ,

%-!ug-12 ,.*5(++ ,.25 2, -?ior ,

%-No-12 ,.*4*1*1 ,.25% 2, -?ior ,

%-Fe-1 ,.**,* ,.25% -?ior , %52>451 - (12>%*

6iscounted a$ue :


21/31

4.): Pricing of Non-Generic Swap - ! %ear 0ortising - #sing NP



Fi8ed rate to receie *.2( annF$oating rate to pa) , 9uarter$)

"nterpo$ated 6F0s !ct/%, NP! A#B F$oating side Fi8ed 'ep$ace Net

dates #argin f$oating cas&f$ow

,,, -1,,>,,,>,,,

%-Ma)-,* ,.++21++ ,.25, 1,, - ?ior , ,

%-!ug-,* ,.+*45*2 ,.25% 1,, - ?ior , ,

%-No-,* ,.+(((5( ,.25% 1,, - ?ior , ,%-Fe-,+ ,.+(1+( ,.25% *, - ?ior , >2%2>25% 2,>,,,>,,, 2>2%2>25%

%-Ma)-,+ ,.+%5* ,.24( *, - ?ior , ,

%-!ug-,+ ,.+5+112 ,.25% *, - ?ior , ,

%-No-,+ ,.+525*% ,.25% *, - ?ior , ,

*-Fe-1, ,.+4545* ,.2%1 %, - ?ior , 2>%1%>+% 2,>,,,>,,, 22>%1%>+%

%-Ma)-1, ,.+*24+ ,.242 %, - ?ior , ,

%-!ug-1, ,.+,114 ,.25% %, - ?ior , ,

*-No-1, ,.+21421 ,.2%1 %, - ?ior , ,

(-Fe-11 ,.+12(%4 ,.25 4, - ?ior , 1>+4%>%5* 2,>,,,>,,, 21>+4%>%5*

%-Ma)-11 ,.+,42(( ,.244 4, - ?ior , ,*-!ug-11 ,.*+5,*, ,.2%1 4, - ?ior , ,

(-No-11 ,.**%, ,.25 4, - ?ior , ,

%-Fe-12 ,.*(%*, ,.25 2, - ?ior , 1>2+(>((2 2,>,,,>,,, 21>2+(>((2

(-Ma)-12 ,.*%(4%, ,.25 2, - ?ior , ,

%-!ug-12 ,.*5(++ ,.25 2, - ?ior , ,

%-No-12 ,.*4*1*1 ,.25% 2, - ?ior , ,

%-Fe-1 ,.**,* ,.25% - ?ior , %52>451 2,>,,,>,,, 2,>%52>451

6iscounted a$ue : ,


22/31

4.: Pricing of Non-Generic Swap - ! %ear 0ortising - #sing /0plied "orwards



Fi8ed rate to receie *.2( ann

F$oating rate to pa) , 9uarter$)

"nterpo$ated 6F0s !ct/%, NP! A#B F$oating side Fi8ed Net

dates #argin "#p$ied forwards as&f$ows cas&f$ow

%2% -((>%2%%-No-,* ,.+(((5( ,.25% 1,, -?ior , 2.(12 -%+(>+* -%+(>+*

%-Fe-,+ ,.+(1+( ,.25% *, -?ior , 2.5%21 -%54>(54 >2%2>25% 2>%,(>5,2

%-Ma)-,+ ,.+%5* ,.24( *, -?ior , 2.51+* -4+*>51 -4+*>51

%-!ug-,+ ,.+5+112 ,.25% *, -?ior , 2.55*5 -52>,(, -52>,(,

%-No-,+ ,.+525*% ,.25% *, -?ior , 2.%*1, -54*>122 -54*>122

*-Fe-1, ,.+4545* ,.2%1 %, -?ior , 2.**(4 -%,>1% 2>%1%>+% 2>,1>(++

%-Ma)-1, ,.+*24+ ,.242 %, -?ior , .1(+2 -4%,>+*+ -4%,>+*+

%-!ug-1, ,.+,114 ,.25% %, -?ior , .4222 -524>(( -524>((

*-No-1, ,.+21421 ,.2%1 %, -?ior , .%14 -5%%>1,( -5%%>1,(

(-Fe-11 ,.+12(%4 ,.25 4, -?ior , .(52, -5%+>,4* 1>+4%>%5* 1>((>%1,%-Ma)-11 ,.+,42(( ,.244 4, -?ior , .*+4 -(5>4,* -(5>4,*

*-!ug-11 ,.*+5,*, ,.2%1 4, -?ior , .+5, -41,>++ -41,>++

(-No-11 ,.**%, ,.25 4, -?ior , 4.,+4 -4,*>42( -4,*>42(

%-Fe-12 ,.*(%*, ,.25 2, -?ior , 4.1522 -41+>*2 1>2+(>((2 *((>+4,

(-Ma)-12 ,.*%(4%, ,.25 2, -?ior , 4.2(4 -21%>,4% -21%>,4%

%-!ug-12 ,.*5(++ ,.25 2, -?ior , 4.+,, -221>+* -221>+*

%-No-12 ,.*4*1*1 ,.25% 2, -?ior , 4.5,1* -2,>,+1 -2,>,+1

%-Fe-1 ,.**,* ,.25% -?ior , 4.%,** -25>55+ %52>451 41%>*+2

6iscounted a$ue : ,


23/31

4.1(: Pricing a non-generic swap #sing $edging Swaps


Pa% side of swap Generic swap rates

Maturit) 5 )ears

Notiona$ principa$ )ear 1 4, #i$$ion 1 )r 2.*+%

)ear 2 *5 #i$$ion 2 )r 2.(+5,

)ear 12, #i$$ion )r .,5,

)ear 4 *, #i$$ion 4 )r .2(5,

)ear 5 5, #i$$ion 5 )r .5,5,

'ate % #o. ?ior D (, p % )r .(15,

ecei3e side of swap

Maturit) % )ears

Notiona$ Principa$ %5 #i$$ion

'ate % #o. ?ior D *.1 p Hedging sw

to rep$a

'ecei

NP! on Margin $edging swaps to replace Pa% side of Swap Margin side of sw

"nterpo$ated 6F0s Pa) Side as&f$ow #aturit) 1 )r 2 )r )r 4 )r 5 )r as&f$ow on %

dates on Pa) Side rate 2.*+% 2.(+5, .,5, .2(5, .5,5, 'eceie Side .(15,

NP! 45 5 4, , 5,

Pa)/'eceieE 'eceie 'eceie Pa) Pa) Pa) 'ecei


24/31

4.11: Pricing a non-generic swap #sing Notional Principal 0o#nts


Pa% side of swap

Maturit) 5 )ears

Notiona$ principa$ )ear 1 4, #i$$ion

)ear 2 *5 #i$$ion)ear 12, #i$$ion

)ear 4 *, #i$$ion

)ear 5 5, #i$$ion

'ate % #o. ?ior D (, p

ecei3e side of swap

Maturit) % )ears


'ate % #o. ?ior D *.1p

NP! on NP! to Margin NP! to Margin Net

"nterpo$ated 6F0s Pa) Side rep$ace ?ior as&f$ow rep$ace ?ior as&f$ow on cas&f$ows

dates on Pa) side on Pa) Side on 'eceie side 'eceie Side


25/31

4.12: Pricing a non-generic swap #sing /0plied "orwards


Pa% side of swap

Maturit) 5 )ears

Notiona$ principa$ )ear 1 4, #i$$ion

)ear 2 *5 #i$$ion)ear 12, #i$$ion

)ear 4 *, #i$$ion

)ear 5 5, #i$$ion

'ate % #o. ?ior D (, p

ecei3e side of swap

Maturit) % )ears


'ate % #o. ?ior D *.1 p

"#p$ied NP! on ?ior Margin ?ior Margin Net

"nterpo$ated 6F0s forward Pa) Side as&f$ow as&f$ow as&f$ow as&f$ow on as&f$ows

dates rates on Pa) Side on Pa) Side on 'eceie side 'eceie Side


26/31

4.1*: Pricing a non-generic swap #sing /0plied "orwards and forward 3al#ing


Pa% side of swap

Maturit) 5 )ears 6eposit #argin %#o. ?ior -25p0s

Notiona$ principa$ )ear 1 4, #i$$ion orrowing #argin %#o. ?ior 5,p0s

)ear 2 *5 #i$$ion

)ear 12, #i$$ion

)ear 4 *, #i$$ion

)ear 5 5, #i$$ion

'ate % #o. ?ior D (,p

ecei3e side of swap

Maturit) % )ears


'ate % #o. ?ior D +.+1p New 0argin 5 41.1+p

"#p$ied NP! on ?ior ?ior !ccu#u$atie ?ior !ccu#u$atie

"nterpo$ated 6F0s forward Pa) Side as&f$ow as&f$ow cas&f$ows as&f$ow cas&f$ows

dates rates on Pa) Side on 'eceie side reinested on 'eceie side reinested

at ?ior at new #argin at #argin


27/31

4.14: New Market data for Valuations

Today's date: 4-Mar-08

Z-C rates

0.000 4.672% 0.000000

0.256 4.672% 0.002025

0.517 4.725% 0.003122

0.769 4.804% 0.001868

1.014 4.849% 0.000090

1.275 4.852% -0.000500

1.528 4.839% -0.000605

1.781 4.824% -0.000461

2.033 4.812% -0.000180

2.286 4.808% -0.000024

2.539 4.807% 0.000051

2.792 4.808% 0.000072

3.044 4.810% 0.0000563.297 4.812% 0.000081

3.553 4.814% 0.000139

3.806 4.817% 0.000218

4.058 4.823% 0.000313

4.314 4.831% 0.000353

4.569 4.840% 0.000349

4.822 4.849% 0.000311

5.072 4.856% 0.000243

5.328 4.862% 0.000208

5.583 4.868% 0.000201

5.836 4.873% 0.000216

6.086 4.878% 0.000249

6.342 4.885% 0.000251

6.603 4.891% 0.000232


28/31

11.922 5.003% 0.000197

12.175 5.008% 0.000192

12.436 5.013% 0.000188

12.689 5.018% 0.000184

12.942 5.022% 0.000180

13.194 5.027% 0.000175

13.447 5.031% 0.000171

13.700 5.036% 0.000167

13.953 5.040% 0.000162

14.206 5.044% 0.000158

14.458 5.048% 0.000154

14.714 5.052% 0.000150

14.967 5.056% 0.000146

15.217 5.059% 0.000141

15.472 5.063% 0.000137

15.728 5.066% 0.000133

15.981 5.070% 0.000129

16.233 5.073% 0.000124

16.489 5.076% 0.000120

16.744 5.079% 0.00011716.997 5.082% 0.000113

17.247 5.085% 0.000109

17.503 5.088% 0.000105

17.764 5.091% 0.000102

18.017 5.093% 0.000099

18.261 5.096% 0.000094

18.522 5.098% 0.000091

18.775 5.100% 0.000088

19.028 5.103% 0.000085

19.281 5.105% 0.000081

19.533 5.107% 0.000078

19.786 5.109% 0.000075

20.039 5.111% 0.000072

20.292 5.112% 0.000068


29/31

25.619 5.132% 0.000004

25.875 5.132% 0.000002

26.128 5.133% 0.000000

26.378 5.133% -0.000003

26.633 5.132% -0.000004

26.889 5.132% -0.000006

27.142 5.132% -0.000007

27.392 5.132% -0.000009

27.647 5.132% -0.000010

27.903 5.132% -0.000011

28.156 5.131% -0.000012

28.408 5.131% -0.000013

28.664 5.131% -0.000013

28.925 5.130% -0.000013

29.178 5.130% -0.000013

29.422 5.130% -0.000014

29.683 5.129% -0.000014

29.936 5.129% -0.000014

30.189 5.129% -0.000014

30.442 5.128%


30/31

4.1!: 8al#ing a non-generic swap #sing NP

Toda%&s date 4-Mar-()

Pa% side of swap ecei3e side of swap

Maturit) 5 )ears Maturit) % )ears

Notiona$ principa$ )ear 1 4, #i$$ion Notiona$ Principa$ %5 #i$$ion

)ear 2 *5 #i$$ion 'ate % #o. ?ior D +.+1p

)ear 12, #i$$ion

)ear 4 *, #i$$ion

)ear 5 5, #i$$ion


?ast ?ior fi8ing .,+(5,

Swap a$uation -,+294!+ 7S6

Pa) Side 'eceie Side

?ior ?ior

"nterpo$ated 3-c 6a) 3-c rates 6F0s 6a) NP! as&f$ow 'ep$acing Margin NP! as&f$ow 'ep$acing Margin

dates count count fro# ?ior wit& as&f$ow fro# ?ior wit& as&f$ow

First Fi8 NP!0s First Fi8 NP!0s


31/31

4.1+: 8al#ing a non-generic swap #sing /0plied "orwards

Toda%&s date 4-Mar-()

Pa% side of swap ecei3e side of swap

Maturit) 5 )ears Maturit) % )earsNotiona$ principa$ )ear 1 4, #i$$ion Notiona$ Principa$ %5 #i$$ion

)ear 2 *5 #i$$ion 'ate % #o. ?ior D +.+1p

)ear 12, #i$$ion

)ear 4 *, #i$$ion

)ear 5 5, #i$$ion


?ast ?ior fi8ing .,+(5,

Swap a$uation -,+294!+ 7S6

Pa) Side 'eceie Side

?ior ?ior

"nterpo$ated 6F0s 6a) "#p$ied NP! as&f$ow "#p$ied Margin NP! as&f$ow "#p$ied Margin Net

dates count Forward fro# ?ior as&f$ow fro# ?ior as&f$ow as&f$ows

rates First Fi8 as&f$ows First Fi8 as&f$ows

ch 4 non-generic swaps

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