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Interest Rate Swap Valuation for Accounting and Tax Purposes ABSTRACT
[Oceňování úrokových swapů pro účetní daňové účely]

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  • Jaroslav Brada

Abstract

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".

Suggested Citation

  • Jaroslav Brada, 2012. "Interest Rate Swap Valuation for Accounting and Tax Purposes ABSTRACT [Oceňování úrokových swapů pro účetní daňové účely]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2012(1), pages 104-120.
    • Handle: RePEc:prg:jnlcfu:v:2012:y:2012:i:1:id:306:p:104-120
    DOI: 10.18267/j.cfuc.306
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    References listed on IDEAS

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    1. George Chacko, 2002. "Pricing Interest Rate Derivatives: A General Approach," The Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 195-241, March.
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    More about this item

    Keywords

    Interest Rate Swap (IRS); Interest Rate Swap Valuation; Swap Valuation; Úrokový swap; Oceňování úrokových swapů; Oceňování swapů;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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