— Despite the importance played by Interest Rate Swaps (IRS), it appears that sounding analyzes related to the hedging of portfolios made by swaps is not clear in the financial literature. We provide here the analysis corresponding to a parallel shift of the interest rate. The suitable swap sensitivities to make use in hedging and risk management obtained here may be seen as some generalization of the well known bond duration and convexity in the swap framework. Our present results might provide a support for practitioners, using portfolio of swaps and/or bonds, in their hedge decision-making.
— Hedging, optimization, zero-coupon, swap.
H. Jaffal is with Laboratoire de Mathématiques Appliquées du Havre (LMAH), Université du Havre, 25 rue Philippe Lebon, B.P. 540, 76058 Le Havre cedex, France (e-mail: firstname.lastname@example.org).
Y. Rakotondratsimba is with ECE Paris Graduate School of Engineering, 37 Quai de Grenelle CS71520 75725 Paris 15, France (e-mail: email@example.com).
A.Yassine is with LMAH and ISEL – Quai Frissard, B.P. 1137, 76063 Le Havre cedex, France (e-mail: firstname.lastname@example.org).
Cite: H. Jaffal, Y. Rakotondratsimba, and A.Yassine, " Hedging with Interest Rate Swap," Journal of Economics, Business and Management vol. 1, no. 1, pp. 106-111, 2013.