The Practitioner's Guide to Interest Rate Risk Management: Disk

This disk and explanatory booklet have been designed to accompany a text which explains how to understand, identify, measure, report and account for interest rate risk, and how to use the main market instruments to manage the risk identified. The disk contains spreadsheets which perform many of the more complex calculations described in the handbook. Instruments analyzed include forward rate agreements, interest rate futures, single and cross currency interest rate swaps, government bonds, interest rate options including caps, floors, and swaptions, foreign exchange swaps, and medium-term forward foreign exchange. The text also addresses the additional issues faced by banks in interest rate risk management due to the regulatory environment and because of their need to allocate cost and revenues to different responsibility centres. The scope of the text is international. Detailed formulae are included for pricing and risk management of interest rate options and extensive worked examples are provided.