貨幣時間價值與利率期限結(jié)構(gòu)清華大學(xué)絕版金融工程-資料下載頁
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【正文】 2 … n t Par*f1 Par*f2 Par*fn Par 0 1 2 … n t Par*i Par*i Par*i Par*f1 Par*f2 Par*fn Investment Cash Flow Financing Cash Flow nnnt tt rPa rriPa rPa rN PV)1()1(1 ??????? ??0??? ???? ntttnnrri1 )1(1)1(1134 — Further illustration of position amp。 deposition 0 1 2 … n t Par*f1 Par*f2 Par*fn Par Par 0 1 2 … n t Par*f1 Par*f2 Par*fn + 0 1 2 … n t Par Par = 0 NPV = 0 0 1 2 … n t Par Par = ? Deposition of finance cash flow 35 Swap as Sequence of FRA ? Calculate forward rates for each of the LIBOR rates that will determine swap cash flows. ? Calculate swap cash flows on the assumption that the LIBOR rates will equal the forward rate. ? Set the swap value equal to the present value of these cash flows. 36 Swap Deposition of FRAs 1 0 2 n t 1 2 3 37 Currency Swap 0 1 2 …. n t P1 P1 i1 i1 i1 0 1 2 …. n t P2 P2 i2 i2 i2 ? Fixed interest rate currency swap 0 1 2 …. n t P1 i1 i1 i1 P2 i2 i2 i2 38 Pricing Currency Swap as Sequence of Currency Forwards ? Currency forward contract can be priced as if the forward price of the underlying asset is realized. ? Forward price for a foreign currency can be thought of as a stock with price S and paying dividend with known rate of foreign currency interest rate rf ? Forward price of a foreign currency is S*exp((rdrf)T) Where rd is the interest rate for domestic currency, and rf is the interest rate for foreign currency. 39 Summary of Chapter Two 1. Time Value of Money ? Term Structure of Interest 2. Riskfree Rates are Benchmark and Market Expectation 3. Forward Price is not the Expectation of Future Spot Price for Risky Assets 4. Forward Price for traded asset 5. Replication ? Composition amp。 Deposition
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