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1 (OTC Derivatives Handbook)

2 [ ] 1. Financial Risk Management with OTC Derivatives Equity Structured Product Investment Bank Book Running Interest rate Structured Product Credit Structured Product Legal Issue with OTC Derivatives - 76

3 Financial Risk Management with OTC Derivatives

4 .,.,,..,. (Infectious Greed), Frank Partnoy, pp 281~282 UBS.. UBS. UBS. UBS. UBS.,..,.,,.. Real Option, Matha Amram et al., HBS Press

5 Global OTC Derivatives Market turnover by Instrument (US$trn) Instrument 1995 Foreign exchange instruments 45 Currency swaps 4 Options 41 Other 1 Interest-rate instruments 151 FRAs 66 Swaps 63 Options 21 Other 2 Estimated gaps in reporting 4 Total , ,220

FRAs 66 Swaps 63 Options 21 Other 2 Estimated gaps in reporting 4 Total 200 1998 2001 2004 97

6 Domestic OTC Derivatives Market () Barrer Step Down Jump ELS ELS ELS 2002, Yield Flattening (Spread Accrual Power Spread Note ) ( Knock Out ) Wedding Cake DLS ( ) CLN (Yield Enhancing)

(Spread Accrual Power Spread Note ) 2003.

8 OTC Product Sales & Processing Front Office Product offering Client mgmt Limit check Price quote Product offering OTC sales OTC Trader Middle Office Product sales Market risk reporting, Credit Review P&L verification Quant/IT Back Office Cash & Stock mgmt Settlement Settlement accounting Documentation / Client / Market, Hedging market Compliance Legal compliance Accounting Financial accounting Marketer : Custom-made structuring, Client management, Collateral management Quant Job : Risk Manager or Auditor, Desk Quant, Trader, Financial Engineer/ Structurer Desk Quant : /, Front Office, C++ programming

Documentation / Client / Market, Hedging market Compliance Legal compliance Accounting Financial accounting Marketer : Custom-made structuring, Client

9 (Check Point) Deal Execution (Documentation) ISDA Document (Master Agreement, Schedule) Termsheets & Final Confirmation Signing Power of the Signatories Pricing & Valuation (Front to Back) Pricing Method (Closed form, Lattice, Simulation, etc.) Pricing System & Pricing Result Verification Theoretical Price Vs Price (Cost, Tax, Margin etc.) Deal Operations (Procedures, etc.) Legal Approval (FSS, BOK) & Internal Approval Fair Value Accounting & Hedge Effectiveness Test Settlement & Internal Operating Process (esp. People)

) Pricing System & Pricing Result Verification Theoretical Price Vs Price (Cost, Tax, Margin etc.) Deal Operations (Procedures, etc.

10 Check Point Overview Description Mechanics Target Investors Revenue Forecasts, Expense, ROE Market Risk Pricing & Hedging Risk Reporting, Scenario Analysis Worst case scenarios Delta gamma (Trading limit) risk Limit Credit Risk Types of Counterparties (Counterparty Risk) Collateral Requirement / Credit Risk Limit Approval Potential Credit Exposure

scenarios Delta gamma (Trading limit) risk Limit Credit Risk Types of Counterparties

11 Check Point Taxation Cross border issues which legal entity withholding taxes Legal and Compliance ISDA Documentation(Maser, Confirmation, CSA) Netting Agreements Documentation Operating & Accounting Deal Tickets and Confirmation Settlements, P&L process risk

Confirmation, CSA) Netting Agreements Documentation Operating &

12 Check Point Finance& Controller Valuation methodology price verification PL explain Treasury& Regulatory On/off balance sheet Capital requirements & Funding Regulatory Capital & Reporting System/Technology System used, Pricing model, new development required Information Security Contingency Planning

& Funding Regulatory Capital & Reporting System/Technology System used,

13 (Model Development Process) Innovation Model Risk Model Risk

14 (Model Development Process) The Business Need Prototyping - problem definition, Scope, goals - evaluation of solution techniques Implementing - Developers Implement software - Check for Memory & performance / bottlenecks Benchmarking and Validation - Write an independent benchmark model - Stress Testing : Both model are run for a broad range market parameter - Compare results of the benchmark model with the actual model Documentation

bottlenecks Benchmarking and Validation - Write an independent benchmark model - Stress Testing : Both model

15 (Model Development Components) Parameter Objects - Yield Curve - Dividend Schedule - Volatility Matrices - Correlation Matrices Model Objects - European, Asian, Barrier - Callable & Convertible bond - Digital option - Variance & Volatility Swap - Interest rate, Equity Swap Computer Engine - Closed Form Solution - PDE methods - Binomial Tree - Monte Carlo Results Objects - Value / Price - Delta - Gamma - Vega - Theta or Multiple Greeks

- Variance & Volatility Swap - Interest rate, Equity Swap Computer Engine - Closed Form Solution - PDE

16 Bloomberg : Exotic option Valuation Screen

17 Equity Structured Product

18 How Came up with the option Formula, Fisher Black, J. Portfolio Management 1973 IBM (cash), IBM. (Fruit Salad).,. ( 50%, 50%),. [] -. -., (fair price). My Life as a Quant, Emanuel Derman, Wiley, pp 7~8

19 Structured Note 1990 Call ELS & Exotic Options Put SUPER(Structured Upside Participating Equity Receipt) Call Spread 1993 Asian option Digital option Range Accrued Note 1 Barrier option Up and out with rebate Basket option Call on Basket Lookback option Rainbow option Everest 1998 Himalayas option Himalayas 2 Call on median basket Atlas Multiasset barrier option Altiplano

option Up and out with rebate Basket option Call on Basket Lookback option Rainbow option

20 Equity Structured Product Knock Out with Rebate ELS Bull Call Spread ELS Digital ELS Reverse Convertible ELS Asian ELS Trigger Redeemable ELS Barrer Step Down ELS (Barrier) (+), () (), (- ) (), (+), ( ) (Step-Down),

ELS Asian ELS Trigger Redeemable ELS Barrer Step Down

21 ELS ( ) ELS ( 2 3 6) ELS ELS : (Index, Stock), (Exotic Option), (),, (4-times, 6- times) ELS : ( ),, (2Star. 3Star) (, ) :, ELS

22 Exotic option : ELS Structure Path Dependent option ELS Barrier Option Cliquet Option Ratchet Option (Path Dependent Product) Singular/ Discontinuous Payoff ELS Digital Option Digital barrier option Contingent premium Range option (discontinuous payoff)

23 Exotic option : ELS Structure Time Dependent option ELS Burmudan option Chooser option Forward start option (Time dependent Product) Correlation option ELS Basket Option Rainbow Option Best of, Worst of (Correlation Product) Himalaya

24 Dynamic Hedging Process & Continual Feedback Loop Administration system Policy data Risk Tool Buy/sell order Market Information Hedge Portfolio Dynamic Hedging Process & Continual Feedback Loop Identify hedge instruments : exchange traded options, futures, and OTC derivatives Portfolio replication for funds offered : managed and index funds Partition the liabilities into hedge baskets Calculate the option sensitivity of the liabilities Determine hedge portfolio

25 OTC Option Replication barrier KOSPI200 Delta( ) Target payoff gap Rebalancing Gamma Risk( ), Knock out payoff Jump Dynamic Hedgigng Gamma Risk delta

26 OTC Option Replication Dynamic Hedge ( ), Tracking Error Trade off Rebalancing Barrier Shift (Move) Over Hedging Over Hedge by Modelling leverage constraints(short-selling) /Schmock, Sherve, Wystup Static Hedge Black Monday Jump Gamma Dynamic Hedging Tracking Error, Jump Process knock Out Rollover hedging : Semi-Static Hedging,.

27 Over-Hedging Model () ELS(6 Chance), Dynamic option replication (delta Greek) (buy low, sell high), 6 ATM Coupon gamma risk

28 ELS Hedging Issue : Back to Back ELS Book Dynamic vs Static Hedging (, Quasi Static hedging) Single asset option Multi asset option Barrer option (up and out call ELS) KOSPI200 Futures payoff(delta, delta Greek() KOSPI200. Basis (contango backwardation, /Hedging tool : - Correlation option (Trigger Redeemable ELS) (2Star : Stock1 Delta, Stock2 Delta),, Correlation risk Warrant (Warrant Price) Interest rate / Dividend / Volatility (Principal structure) / (Participation rate / Rebate) / Hedging cost (book running) Correlation : Multi asset structure ELS Structuring

29 ELS Pricing Issue Closed form solution (plain vanilla / simple exotic) Lattice method / Monte Carlo Simulation (multi asset) Finite Difference Method (one asset / multi asset) Pricing Tool : Excel VBA, C++, MATLAB Parameter :,, (ELS,, Hedging vol. Vol. ) Exotic option pricing Closed form solution -, - Black-Sholes Eropean Call, Put Lattice method - Binomial Tree Payoff - recombining tree Non-recombining Tree Monte Carlo Simulation - Simulation.

30 Bull Call & Reverse Convertible ELS 100% 120% 100% : Bull Spread ELS,, : Reverse Convertible ELS,,

31 Digital Call & Asian ELS 100% : Digital Call ELS () : Asian ELS

32 Barrier ELS : up and out call barrier % 130% KOSPI delta (barrier) Rebate, Short Delta Risk Participation Rate Rebate Barrier Delta, Gamma, Vega Risk Barrier Option

33 Trigger Redeemable ELS (6 Chance) 21.6% 100% 60% 100% 110%

34 Trigger Redeemable ELS (6 Chance) ELS(6 Chance), Dynamic option replication (delta Greek) (buy low, sell high), 6 ATM Coupon gamma risk

35 Barrier Step-Down ELS (4 Chance) 24: 29.0% 18: 21.75% % 12: 14.50% 6: 7.25% -30% 50% 70% 75% 80% 85% (6 5%) -100% 100% : & : 14.5% / : 2 / 6 : Barrier Step Down( )/ Barrier: 50% 50% 7.0%( 14%)

36 (multi asset) 1) (Correlation matrix) 2) 3) 0, 4) 5) (cholesky decomposition) 6), 0 n (correlation) Greek ρ ρ ρ

37 Himalaya ELS % % 15% 25% 17% 20% SDI 9% 24% LG 11% 18% 39% - - SK Telecom 5% 17% 5% 42% - (best performance) ( ) 2 structuring (basket,, Correlation ) : 5 (15%+24%+39%+42%+20%) * +100% Floor Back-testing ( vs )

38 Risk Management Issue with OTC Derivatives 1) 3 1) ( : (Model Risk) 2) 3) (real-time risk analytics) - : FDM Monte Carlo Simulation / Model - CDO : (Term, Rating, Asset Type, Country, Sector - Parametric VaR, Historical VaR, MC VaR (Simulation & Aggregation)

39 Risk Management Issue with OTC Derivatives 1), Barrier Level, 2) Knock Out Barrier., Trigger,., Barrier Level( Level),, Greek. Book Offset, Market Credit Event.

40 3) 3D Greek Graph 4) Delta Greek 3D Surface Graph(,, Greek), Hedging( Gamma ) worst case worst case Greek( Delta :, Gamma : KOSPI200, Rho: (IRS) Greek (Vega : Vega, Theta : ). Model Risk, Liquidity Risk, Legal Risk, Credit & Counterparty Risk, Market Risk (Pin Risk) 5) Greek ELS (Initial Delta Hedge) Option Book Greek Greek (Delta Rebalancing) (Mark-to-Market) Greek Limit Mgmt,,, Stress Testing

41 OTC Derivatives : Counterparty Risk 1) x (credit conversion factor) 1 0.0% 1.0% 6.0% 7.0% 10.0% 1~5 0.5% 5.0% 8.0% 7.0% 12.0% 5 1.5% 7.5% 10.0% 8.0% 15.0% 2) () () = Exposure x (0~100%) Exposure x (0~8%)

42 Investment Bank Book Running

43 Investment Bank Book Running 1) Book Running Book : Book Trading Margin Book Running Proprietary Trading - Book Running, Prop. Trading ex) (Prop. Trading vs ELS Hedging Trading) 2) Book Running OTC Trader Net Position Trading Book Position Netting Trader Book Hedge Position Check,, Simulation (, Gamma )

44 3) Book (Delta) Book (Gamma) - Book Delta Gamma - Book Gamma (Vega) - Book - Book Vega (Theta) - Book - Book Theta 4) Book, Reuter, Bridge, Bloomberg : ( Zero Coupon Rate), ( ), (EWMA)

45 Interest Rate Structured Product

46 Interest Rate Structured Product Inverse FRN CD %-CD91 x 2 Dual Index FRN 5 CD91 5 x 2 CD91 (IRS 3 Libor6) x % 2:5.2%+(IRS 5Y-CD91) x 2, 3:4.45%+(IRS5Y-CD91) x 2 Callable FRN 7.75%, Call Option 14.65%-CD91

47 Interest Rate Structured Product CMT, CMT FRNs FRN, Coupon=CMT- Constant Maturity Treasury, Constant Maturity Swap CMS Treasury Deleveraged CMT, CMS FRN CMT, CMS FRN Coupon = CMT (CMS)*0.5%+ Accrual Note Range Notes, ex) X%. Y% Inflation-Linked bond pricipal

48 Interest Rate Structured Product Target Redemption Target = Target (Cap), Target hitting Callable Snowball Callable = Call Snowball = ( Coupon+xyz- reference rate) Power Spread Note : +(CD 3)* CD () Coupon=Max{Min[5.2%+12 (CD 3M- TB 3M), 7%], 0%}

49 Swap Basic 1) 2), (Interest Rate Swap) (Currency Swap)- : Equity Swap (Index Swap) /Commodity Swap

50 Swap Basic 3) Notional amount :, (cf. Currency Swap) Counterparty: Fixed receiver(floating payer) : Floating receiver(fixed payer) : 4) (Day Count Basis) Actual /365 Actual / 360 Actual / Actual 30/360(Bond Basis. European Style, American Style)

51 Interest Rate Swap 1) (OTC) - - -, 2) / Short Position in / Long Position in Market Risk, Market Risk ( ) /,

52 (/ ) 3M CD Rate Fixed Rate 3M CD Rate 3 CD,

53 (/ ) Fixed Rate Fixed Rate 3M CD Rate

54 Exotic Swap & Documentation 1) Coupon Swap / Zero Coupon Swap/ Basis Swap Amortizing / Accreting Swap / Roller-Coaster Swap Spot Starting Swap / Forward Starting Swap Callable / Puttable Swap : Asset Swap, Equity Swap, Swaption, Cap, Floor 2) Documentation ISDA Master Agreement (Including Definition) Confirmation Collateral Agreement : Swap Book Management

55 Currency Swap 1) () Index() 2) (Effective Date) - - -,

56 USD Floating USD FRN USD USD USD Floating JPY JPN Floating 6 (FRN), positive carry (USD/JPY)

57 Callable Bond Call (Callable Bond) =+ - (Call option) Callable = + Call Option (Forward Interest Rate) Callable Bond,

58 Inverse FRN : ( : 10.5% CD) Reverse FRN,,, Capital Gain Duration

59 Inverse FRN Inverse FRN Inverse FRN

60 Callable Inverse Floater Callable Inverse FRN step up : - (. 11%-3CD) : -2CD Callable Inverse Floater Issuer : A. Bank Tenor : 10 Year Coupon: [9.50%-KRW 3Mcd] subject to floor of 0% Call Feature : The issuer has the right to call this note 3 month from the issue date And quarterly thereafter.

61 Super Floater : x ( : 2 X CD 2.5%), Flat, Leverage FRN (short Position) (-) Duration

62 Superfloater X CD-2.5% Superfloater Superfloater

63 Dual Index FRN : -+ (. 5Y-CD %), Dual Index FRN, Dual Index FRN Duration Dual Index FRN (-)

64 Dual Index FRN Dual Index FRN Dual Index FRN

65 Range Note : ( ) (: 3.5~5.5% 6%, 2%) Digital Option Digital Note, Binary Note, Corridor, Accrual Note [- ] CD Range CD Rage Note

66 Range Note 5.5% 6% 3.5% 2% 3.5% 5.5% Note ( ) ( ) Digital Option Range Note * Range Note [- ] Digital Option

67 CD Range Accrual : (1) CD 4.5%, : 91 CD, 1, Call : : 5.00% Accrual CD Range : 0%~ 4.5%, : : < + Coupon >, Coupon = 5.00% X n/n (n= CD 0~4.5%(), N=

68 Callable CMS Spread Floater Note 10YR NC 3YR USD Callable CMS Spread Floating Note Issuer : R Bank Issuer s Rating: AA.Aa1 S&P /Moody s Maturity Date: [Issue DATE+10years] Interest Rate : Year 1-2: [9.25]% p.a Year 3-10: 5 X (Coupon Index) P.A subject to a minimum of 0.0% Spread Index : Max(0, USD 10Y Swap- USD 2Y Swap) Call Feature : 3 Issuer - - Swap spread : USD 10Y Swap- USD 2Y Swap,. (Bloomberg Spread Chart) - Issuer : Issuer S&P AA- - Isser - - :, : /, :,,

69 Callable Snowball Note. (Snowballing) : - : - : +Y%-Libor (floor 0%, Y ) : 100% Issuer: AA rating Tenor 5years -Year 1 5% Year %-USD 3m Libor Year3 +4.5%-USD 3m Libor Year4 +5.5%-USD 3m Libor Year5 +6.5%-USD 3m Libor call feature: This Issuer has the right to call this note 3 month from the issue date and quarterly thereafter : 3mLibor Coupon Fed 3mLibor

70 Power Spread Note

71 Credit Structured Product

72 Total Return Swap Asset total return Protection seller Risk buyer Protection buyer Risk Seller Reference rate Reference Asset - reference asset - reference asset initial Value reference rate - reference rate Libor+ spread

73 Credit Default Swap Premium Protection seller Risk buyer Credit event Default payment Protection buyer Risk Seller No Credit event zero Reference Asset Credit Event (ISDA) - Bankruptcy, Cross acceleration, Cross Default - Failure to pay, Repudiation/ Moratorium - Restructuring, Credit event upon merger - Downgrade

74 (CLN) CDS Issuer (SPV) + (CLN)

75 Synthetic CDO Senior Originating Tranche Bank Issuer (SPV) Junior CDS Tranche Equity (First Loss) ( ) ()

76 Legal Issue with OTC Derivatives

77 International Swap and Derivatives Association, Inc..,, ISDA Master Agreement 2002 ISDA ISDA Agreements Structure Credit Support Annex ISDA Master Agreement Plus Schedule Long Form Confirmation Short Form Confirmations Definitions

78 Credit Support Documents: 2001 ISDA Margin Supplement(Incorporatin g 2001 ISDA Margin Provisions) 1995 Credit Support Annex(Transfer-English law) 1994 Credit Support Annex(New York law) 1995 Credit Support Deed (Security Interest-English law) ISDA Agreements Structure (2004) Confirmations (long form) 2002 Master Agreement Governs legal and credit relationship between the parties Includes representations, events of defaults/termination event, covenants Incorporates Confirmations Schedule makes elections and changes to sthandard provisions Confirmation (short form) Incorporate Definitions Specify economic terms of each Transaction Include Transaction-specific modifications Bridge 2002 Energy Agreement Bridge Definitions : for use in documenting transaction 2005 Commodity Definitions 2003 Credit Derivatives Definitions 2002 Equity Derivatives Definitions 2000 Definition 1998 Euro Definition 1998 FX and Currency option Definitions 1997 Bullion Definitions 1997 Government Bond option Definitions

79 How Deal Is done from srart to finish Before Deal (Termsheet ) Collateral or Guarantee ( ) Termsheet (Deal ) : Confirmation The Deal ISDA Master Agreement ISDA Schedule Confirmation Payment(settlement)& Termination (Scheduled Payment Date) Termination

80 Documentation (Confirmation Sample) Share Basket Swap Transaction 4 August 2005 Indicative Terms and Conditions PLEASE SEE IMPORTANT DISCLAIMERS AT THE END OF THIS DOCUMENT Trade Date: 4 August 2005 Effective Date: 18 August 2005 Termination Date: 18 August 2008 Notional Amount: B. : B Bank PLC Counterparty: K Securities Co., Ltd.

81 Basket: The Basket is composed of the specified Shares of the Issuers listed below:- Issuer Initial Price Strike Price LG. Philips LCD Co Ltd KRW 48,400 85% of Initial Price (KRW 41,140) (Bldg: KS) SK Corp (Bldg: KS) KRW 51,567 85% of Initial Price (KRW 43,832 ) Exchange: In respect of each Share, the Korea Exchange Currency Business Day: A day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in New York and Seoul. Exchange Rate: In respect of a particular day, the USD/KRW mid-market spot exchange rate, expressed as the amount of Korean Won per one U.S. Dollar, reported by the Korea Financial Telecommunications and Clearing Corporation which appears on the Reuters Screen KFTC11 Page that is available at approximately 2.45 p.m., Seoul time, or as soon thereafter as practicable, on that date. If such rate does not appear on the Reuters Screen KFTC11 Page, the Calculation Agent will determine the Exchange Rate (or a method for determining the Exchange Rate) in good faith and in a commercially reasonable manner.

82 Settlement Currency: Cash Settlement: Initial Exchange: Barclays Initial Exchange Amou nt: USD Applicable None Counterparty Initial Exchange Amount: USD 15,259, Initial Exchange Date: The day that is two Currency Business Days following the Initial FX Valuation Date. Early Termination: Early Termination Event: If the Relevant Prices of all the Shares in the Basket on a Valuation Date, with each Share being valued independently, are at or above their respective Strike Prices, this Transaction will terminate (in whole but not in part) on such Valuation Date (the Date of Early Termination ) and Barclays shall pay to the Counterparty the Termination Amount on the Early Termination Payment Date. Relevant Price: Upon payment of the Termination Amount in accordance with this provision, each party shall be released from its respective future obligations and shall cease to have any further rights against the other party under this Transaction. The occurrence of the Date of Early Termination shall not affect the rights and obligations of the parties arising on or prior to such Date of Early Termination Date. In respect of each Share, the arithmetic average of the official closing prices of the Share for the three Averaging Dates in respect of

83 the relevant Valuation Date, rounded to the nearest whole Korean Won (with one half Korean Won being rounded up). Strike Price: In respect of each Share, 85% of the Initial Price as set out above Initial Price: In respect of each Share, the arithmetic average of the official closing prices of the Share for the three Averaging Dates in respect of the Effective Date, rounded to the nearest whole Korean Won (with one half Korean Won being rounded up). Valuation Dates: 20 February, August, February, August, 2007 Averaging Dates: 18 February, 2008 (i) In respect of the Effective Date, the Effective Date, 19 August 2005 and 22 August 2005; and (ii) In respect of each Valuation Date, each of the dates specified in the table below and that Valuation Date (or if such date is not a Scheduled Trading Day, the next following Scheduled Trading Day):- Valuation Dates Averaging Dates 20 February, February 2006, 17 February August, August 2006, 17 August February, February 2007, 16 February August, August 2007, 17 August February, February 2008, 15 February 2008

84 (iii) in respect of the Termination Date, 13 August 2008, 14 August 2008 and Termination Date. (or, in each case if any of such dates is not a Scheduled Trading Day, the next following Scheduled Trading Day). Averaging Date Disruption: If any Averaging Date is a Disrupted Day in respect of a Share, the Averaging Date for such affected Share shall be the first succeeding Valid Date in respect of such Share. If the first succeeding Valid Date in respect of such Share has not occurred as of the Valuation Time on the eighth Scheduled Trading Day immediately following the original date that, but for the occurrence of another Averaging Date or Disrupted Day, would have been the final Averaging Date in respect of the Initial Price, Relevant Price or Final Price (as the case may be), then (1) that eighth Scheduled Trading Day shall be deemed to be the relevant Averaging Date (irrespective of whether that eighth Scheduled Trading Day is already an Averaging Date), and (2) the Calculation Agent shall in good faith estimate the value of the affected Share for that Averaging Date, and use such estimate as the closing price of that Share as of that Averaging Date to calculate Initial Price, Relevant Price or Final Price (as the case may be). For the avoidance of doubt, if an original Averaging Date is postponed due to the occurrence of a Disrupted Day, the determination of the closing price of the unaffected Share shall be postponed to the date on which the closing price of the affected Share is determined. This material is for information purposes only. It is neither an offer to sell securities, commodities or other instruments nor a solicitation of an offer to buy securities, commodities or other instruments. This document does not constitute or imply any offer or commitment whatsoever on the part of B. Capital or its affiliates. This document is not intended to set forth a final expression of the terms and conditions of any transaction and it may be amended, superseded or replaced in its entirety by subsequent term sheets or other summaries of terms and conditions.

85 (Biblography) Haug (1998), The Complete Guide to Option Pricing Formulas, McGraw-Hill Hull (2000). Options, Futures & Other Derivatives, 4 th ed., Prentice Hall Bhansali (1998), Pricing and Managing Exotic and Hybrid Options, McGraw-Hill Nelken (1996), The Handbook of Exotic Options - Instruments, Analysis and Applications, Irwin Braddock(1998), Derivatives Demystified : Using Structured Financial Products, Wiley Flavell (2002), Swaps and other derivatives, Wiley

(IRS)

(IRS) (IRS) ... Swap Rate.... KTB. . SWAP - Swap. (Currency Swap). (Interest Swap). * ( ).. . SWAP - IRS (Coupon Swap) A LIBOR B (Basis Swap) A PRIME RATE LIBOR B . SWAP - (Swap Rate) AA ( U$ Libor) Telerate