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Basic Financial Mathematics: FX, Interest Rate and Cross Currency Swaps

by Rosli Bin Mohd Sani

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Rosli Bin Mohd Sani

Category - Finance & Investments

The book looks into the basic concept of time value of money and explores the various financial instruments in which the concept is applied. It started off with the most basic formula for short dated instruments such as fixed deposits and T-bills and advances into instruments with multiple interest payments such as fixed rate bond and floating rate bond. The same formula is then used to value interest rate derivatives such as interest rate swap and cross currency swap. Adjustments in the formula were made to cater structures such as amortising, accretions and roller coaster. Discount factors curve was also calculated using par rates from bond, interest rate swap, futures, forward rate agreement, foreign exchange swap and cross currencies swap. Topics covered are small set of topic in finance but discussed in greater details with examples suitable for students in finance, seeking Financial Market Association of Malaysia certification and anyone new in the industry.

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