期權(quán)期貨以及其他衍生品(2)(參考版)
2024-10-19 11:28本頁面
【正文】 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。 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 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 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 Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull The Cash Flows (Table , page 140) Year Doll
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