Rates & Bonds · Macro
Swaps & SOFR
An interest-rate swap exchanges fixed for floating payments on a notional that never changes hands. How swaps are quoted and valued, what replaced LIBOR (SOFR), swap DV01, central clearing, and how corporates, banks and hedge funds use them.
Step 1 of 6 · Overview35 min read ·
Key idea
Prereqs: Duration & DV01; Yield curve. Next: Curve trades. Follows Hull ch. 7, the NY Fed's SOFR materials and ISDA/ARRC transition documentation.Next: 1. The plain-vanilla swap