chapter5swaps(期權(quán)期貨及其衍生市場-廈門大學(xué),鄭振龍)(編輯修改稿)
2025-02-27 20:28 本頁面
【文章內(nèi)容簡介】 of payments in an interest rate swap is an FRA The FRAs can be valued on the assumption that today’ s forward rates are realized An Example of a Currency Swap An agreement to pay 11% on a sterling principal of 163。10,000,000 receive 8% on a US$ principal of $15,000,000 every year for 5 years Exchange of Principal In an interest rate swap, the principal is not exchanged In a currency swap the principal is exchanged at the beginning the end of the swap The Cash Flows Dollars Pounds Years $ millions 0 – + 1 + – 2 + – 3 + – 4 + – 5 + 163。 Typical Uses of a Currency Swap Conversion from a liability in one currency to a liability in another currency Conversion from an investment in one currency to an investment in another currency Comparative Advantage Arguments for Currency Swaps Company A wants to borrow AUD Company B wants to borrow USD USD AUD Company A % % Company B % % Valuation of Currency Swaps Like interest rate swaps, currency swaps can be valued either as the difference between 2 bonds or as a portfolio of forward contracts Swaps Forwards A swap can be regarded as a convenient way of packaging forward contracts The “ plain vanilla” interest rate swap in our example consisted of 6 FRAs The “ fixed for fixed” currency swap in our example consisted of a cash transaction 5 forward contracts Swaps Forwards (continued) The value of the swap is the sum of the values of the forward contracts underlying the swap Swaps are normally “ at the money” initially This means that it costs NOTHING to enter into a
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