Valuation of Interest Rate Swaps and Swaptions
Author: Gerald W. Buetow, Frank J. Fabozzi
List Price: $69.95
Our Price: Click to see the latest and low price
ISBN: 1883249899
Publisher: John Wiley & Sons (June, 2000)
Sales Rank: 231,478
Average Customer Rating: 1 out of 5
Customer Reviews
Rating: 1 out of 5
Not worth spending money
Like all other Fabozzi books this one also just scratches the surface of the topic (swap and swaptions) with text book style examples which are not seen in real world. He starts with an example where both the fixed and floating leg of a swap is semiannual and actual/360 which is not the case of US Swaps and nowhere through out the book he discusses how to deal with different day counts (30/360 & actual/360) in the fixed and floating legs as well as different payment styles (semianually for fixed and quarterly for floating). Anyone who is trying to build a swap valuation tool will realize the importance of the above meniotned topics which is not covered in this book. Even a slight change in numbers can change the P&L by several hundred thousand dollars as the notional are generally upwards of 100 million. This book may be good for an undergrad student who is taking the first course in finance and trying to understand what a swap is. But even then it will facilitate only an abstract theoretical knowledge which he/she will never be able to relate to in real world swaps. Avoid this book, it's a waste of your hard earned money. Similar Products
Advanced modelling in finance using Excel and VBA
The Eurodollar Futures and Options Handbook (Irwin Library of Investment & Finance.)
Advance Interest Rate and Currency Swaps: State-of-the-Art Products, Strategies & Risk Management Applications
Swaps and Other Instruments (With CD-ROM)
Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications, 2nd Edition
Book Index