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Entendiendo los mercados de swaps: Un enfoque de equilibrio general
[Understanding Swaps Markets: A General Equilibrium Approach]

Author

Listed:
  • Venegas-Martínez, Francisco

Abstract

Spanish Abstract: En esta investigación se describen los distintos mercados de swaps y se desarrollan varias fórmulas de valuación sobre los supuestos de equilibrio general y ausencia de riesgo crédito. La mayoría de estos contratos pueden analizarse como la diferencia entre dos bonos cuponados, uno de tasa cupón fija y el otro de tasa cupón flotante. Asimismo, se presenta el método de “bootstrapping” útil para estimar la curva de ceros asociada al bono cuponado de tasa cupón constante. Por último, se discute la relación entre swaps y contratos forward de tasa de interés. English Abstract: This paper describes the different swaps markets and develops several pricing formulas on the assumptions of general equilibrium and absence of credit risk. Most of these contracts can be analyzed as the difference between two coupon-bearing bonds, one with fixed coupon rate and the other with floating coupon rate. Also, this research presents the bootstrapping method useful to estimate the curve of zeros associated with the coupon-bearing bond with fixed coupon rate. Finally, the paper discusses about the relation between swaps and forward contracts of interest rate.

Suggested Citation

  • Venegas-Martínez, Francisco, 2014. "Entendiendo los mercados de swaps: Un enfoque de equilibrio general
    [Understanding Swaps Markets: A General Equilibrium Approach]
    ," MPRA Paper 54848, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:54848
    as

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    File URL: https://mpra.ub.uni-muenchen.de/54848/1/MPRA_paper_54848.pdf
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    References listed on IDEAS

    as
    1. Litzenberger, Robert H, 1992. " Swaps: Plain and Fanciful," Journal of Finance, American Finance Association, vol. 47(3), pages 831-850, July.
    2. Larry D. Wall & John J. Pringle, 1987. "Alternate explanations of interest rate swaps," Proceedings 154, Federal Reserve Bank of Chicago.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Mercados financieros; valuación de activos;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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