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In this chapter, we explore the engineering of complex swap structures through the lens of quantitative modeling and computational techniques. We begin with Index-Amortizing Swaps (IASs), which introduce path-dependent features tied to interest rate movements, offering risk management and yield enhancement opportunities. We then turn to the Total Return Swap (TRS), highlighting its dual role as both a financing and risk-transfer instrument.

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Swap Engineering with Quantitative Models: Index-Amortizing Swap, TRS with Antithetic Variates, and Hull–White Trigger Swaps

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  • 发表日期：

    2025年

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  • Aaron De La Rosa

摘要

In this chapter, we explore the engineering of complex swap structures through the lens of quantitative modeling and computational techniques. We begin with Index-Amortizing Swaps (IASs), which introduce path-dependent features tied to interest rate movements, offering risk management and yield enhancement opportunities. We then turn to the Total Return Swap (TRS), highlighting its dual role as both a financing and risk-transfer instrument.