This sub-section contains a series of preset format of the most common proprietary named swap available in the market. They can be used by themselves or as a starting point for building other structures. Other examples can be found on the resources page. -
Atlantic Swap: is characterized by two different driver rates with the same maturity: USD 3-Months Libor for Party A and EUR 3-Months Euribor for Party B. Party A pays a fixed or floating rate in accordance with the movement of its driver rate (the American Libor Interbank Offered Rate). Downloads: template, documentation. -
Extra Swap: is characterized by an extra final payment with positive or negative sign (cash inflow or cash outflow for Party A and vice versa for Party B) which depends on the differential between a long-term and mid-term (or short-term) rate (e.g. 30-Years CMS rate and 2-Years CMS rate or 6-Months Euribor). Downloads: template, documentation. -
Variable Protected Differential IRS: exchanges periodically two floating interest payments indexed to the 6-Months Euribor. In addition Party A rate is determined through another differential function which value depends on the long-term and mid-term swap rates ( 30-Years CMS rate and 2-Years CMS rate). Downloads: template, documentation. -
Range Accrual Interest Rate Swap: is characterized by a Range Accrual clause on Party B floating payment. The Range Accrual is usually a kind of interest accrual in which the coupon rate ( Rate) is only earned on days when another rate ( Driver Rate), from which the coupon derives, drop in a specific range. In details, Rate and Driver Rate are equal for this template. Downloads: template, documentation. -
Collar Interest Rate Swap: is characterized, for Party A, by an outflow indexed to a short term rate (e.g. EUR 3-Months Euribor) plus a fixed component (spread) whose fluctuation is bounded within a minimum and maximum rate. Note that lower / higher rate could differs from floor / cap strike rate more than fixed spread component. In this case payoff is not linear due to the presence of digital (or binary) options. Dowloads: template, documentation. -
Path Dependent Interest Rate Swap: is characterized, for Party A, by a path dependent option, an option whose value depends on the time sequence of values of the underlying rather than just its final value. In details, the gearing Spread at time t, depends on the value of the Spread estimated at the time before (t-1). Dowloads: template, documentation. -
Sunrise Swap: is characterized, for Party A, by alternative scenarios that depends on the short term rate (e.g. EUR 3-Months Euribor). The payoff of Party A is a float / fixed rate minus an option with the underliying the differential between a long-term swap rate and a medium (or short) term swap rate (e.g. 30-Years CMS rate and 10-Years CMS rate). Dowloads: template, documentation. |
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