19: Interest Rate Swaps

Lecture PDF

Lec 19-1: FT: Sovereign debt crises

FT article link, Greece

FT article link, Argentina

Lec 19-2: Reading: FOMC Report (1952)

Lec 19-3: Treasury-swap spread, a puzzle

Lec 19-4: What is a swap?

Lec 19-5: Why swap? An example from Stigum

Lec 19-6: Market making in swaps

Lec 19-7: Money market swaps, example

Lec 19-8: Life in Arbitrage Land

Lec 19-9: Treasury-swap spread, liquidity risk or counterparty risk?