期權(quán)期貨以及其他衍生品(2)-資料下載頁
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【正文】 % % Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull 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 Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Swaps amp。 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 and 5 forward contracts Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Swaps amp。 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 swap – It does not mean that each forward contract underlying a swap is “at the money” initially Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Credit Risk ? A swap is worth zero to a pany initially ? At a future time its value is liable to be either positive or negative ? The pany has credit risk exposure only when its value is positive
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