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A Forward Rate Agreement ( FRA) is an over-the-counter agreement which a certain interest rate will be applied to a certain principal during a specified future period of time. If we suppose a trading date ( t) this O.T.C. financial product fixes a FRA rate which will be payed between two future dates (from T1 to T2 or, better, from t + T1 to t + T2 as compared with time t). If the FRA rate equals the forward rate ( Rf) starts from T1 with maturity T2-T1, the FRA is worthless, otherwise it can be positive or negative. Dowloads: template, documentation. -
An Interest Rate Swap is an agreement between two counterparties to exchange cash-flows (e.g. a fixed rate, whose value is pre-established, versus a floating rate, whose value is reset with a pre-established frequency) in the same currency. Main features of the derivative (e.g. notional, payment dates, reset dates, etc ...) are defined at trade date.
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Vanilla Fixed-Float Interest Rate Swap (generally called " plain vanilla" swap): the floating rate is a Libor rate, the London Interbank Offer Rate (e.g. USD Libor for USA market, GBP Libor for British market etc ...) or its equivalent into other markets (e.g. Euribor rate for European market). Dowloads: template, documentation. -
Fixed-Float CMS Swap: the floating rate is a Constant Maturity Swap, the par swap rate, payed on the fixed leg, that balances the mutual performance of the floating leg with maturity equal to the maturity of the CMS rate. Dowloads: template, documentation. |
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