This paper examines the evolution of the U.S. interest swap market. The authors review the theory and past empirical … studies on U.S. swap spreads, and estimate an error-correction model for maturities of 2, 5, and 10 years from 1994 to 2004 … counterparty default risk by mark-to-market and collateralization. Swap spreads reflect the LIBOR credit quality (credit component …

), especially on US and European markets. To understand how swap pricing works, we estimate IRS valuation models for the US, German … and French swap markets. On one hand, we derive swap rate from the market value of the swap contract formula. On the other … hand, questioning the role of default credit risk in valuing the swap contract, we show that the swap rate can be expressed …

gives a satisfactory fit to the market. We conclude our investigation with a pricing of a callable swap on cms spread using …

Explicit and semi-explicit formulae are obtained for swap futures within a HJM one factor model. The convexity …