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

2. © 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

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

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

5. © K. Cuthbertson and D. Nitzsche Figure 15.4 : Forward swap 012345 f 23 f 24 f 25 Swap’s Life Enter into forward swap Expiration of forward swap