Český finanční a účetní časopis 2012(1):104-120 | DOI: 10.18267/j.cfuc.306

Interest Rate Swap Valuation for Accounting and Tax Purposes ABSTRACT

Jaroslav Brada
Doc. Ing. Jaroslav Brada, Dr. - docent; Katedra měnové teorie a politiky, Fakulta financí a účetnictví, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3; <brada@vse.cz>.

Paper analyzes theoretical background and provides the valuation formulas for standard and amortized Interest Rate Swap (IRS) valuation. Valuation IRS is provided in time of buy or sell IRS or as the valuation of the existing IRS. Paper provides practical aspects of valuation for valuation practice practice and includes necessary formulas too. Problems with display of IRS in double-entry accounting are mentioned also. Paper drew attention to the difficulties of capturing the IRS as the investment tool with "zero" price in the assets or increasing the amount of balance sum in cases where IRS is recorded as a pair of transactions "purchased bond" and "issued bond".

Keywords: Interest Rate Swap (IRS); Interest Rate Swap Valuation; Swap Valuation.
JEL classification: G12, G32

Published: March 1, 2012  Show citation

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Brada, J. (2012). Interest Rate Swap Valuation for Accounting and Tax Purposes ABSTRACT. Czech Financial and Accounting Journal, 2012(1), 104-120. doi: 10.18267/j.cfuc.306
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    References

    1. CDIAC (2007): Understanding Interest Rate Swap Math Pricing. [online], Sacramento, California Debt and Investment Advisory Commision, c2007, [cit.: 10. 4. 2012], <http://treasurer.ca.gov/CDIAC/publications/math.pdf>.
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