This case has been designed for use at both the undergraduate and graduate levels and can be used in courses on international finance, investments, fixed-income markets, and derivatives securities. After completing the case, students will have developed their ability to do the following: ·Appreciate the historical evolution of the LIBOR market and the recent scandals. ·Understand the differences between LIBOR and OIS rates. ·Identify why and how LIBOR or OIS would be used in valuing derivatives. ·Calculate forward interest rates from the zero yield curve. ·Value an interest-rate swap.

LIBOR; overnight indexed swap; interest rate swaps

Undergraduate/MBA

Finance and Insurance
United States
Large