ABSTRACT
The term ‘swap’ is most commonly used in the sense of an agreement to the future exchange of cash flows.The cash flows exchanged may have a wide variety of bases. In the case of interest rate swaps, the typical exchange is of cash flows arising from a fixed rate of interest (fixed for the period to the maturity of the swap) for cash flows arising from a floating interest rate (perhaps a rate changed every six months reflecting movements in a market rate such as LIBOR, the London InterBank Offered Rate).
