© K. Cuthbertson and D. Nitzsche Figures for Chapter 15 INTEREST RATE DERIVATIVES (Financial Engineering : Derivatives and Risk Management)

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© K. Cuthbertson and D. Nitzsche Figures for Chapter 15 INTEREST RATE DERIVATIVES (Financial Engineering : Derivatives and Risk Management)

© K. Cuthbertson and D. Nitzsche Figure 15.1 : Payoff from caplet on 90-day LIBOR 0T = 30t = 120 days Expiry\Valuation of option, (LIBOR T - K c ) Cash payout Strike rate K c fixed in the contract 90 days

© K. Cuthbertson and D. Nitzsche Figure 15.2 : Planned borrowing plus an interest rate call Loan only Loan plus long call

© K. Cuthbertson and D. Nitzsche Figure 15.3 : Planned loan plus an interest rate put Loan plus interest rate put Return on loan only

© K. Cuthbertson and D. Nitzsche Figure 15.4 : Forward swap f 23 f 24 f 25 Swap’s Life Enter into forward swap Expiration of forward swap