期權期貨以及其他衍生品(2)(編輯修改稿)
2024-11-12 11:28 本頁面
【文章內容簡介】 page 133) AAA . BBB 10% LIBOR LIBOR LIBOR+1% % % Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Criticism of the Comparative Advantage Argument ? The % and % rates available to AAACorp and BBBCorp in fixed rate markets are 5year rates ? The LIBOR+% and LIBOR+1% rates available in the floating rate market are sixmonth rates ? BBBCorp’s fixed rate depends on the spread above LIBOR it borrows at in the future Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Valuation of an Interest Rate Swap ? Interest rate swaps can be valued as the difference between the value of a fixedrate bond and the value of a floatingrate bond ? Alternatively, they can be valued as a portfolio of forward rate agreements (FRAs) Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Valuation in Terms of Bonds ? The fixed rate bond is valued in the usual way ? The floating rate bond is valued by noting that it is worth par immediately after the next payment date Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Valuation in Terms of FRAs ? Each exchange of payments in an interest rate swap is an FRA ? The FRAs can be valued on the assumption that today’s forward rates are rea
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