貨幣時(shí)間價(jià)值與利率期限結(jié)構(gòu)清華大學(xué)絕版金融工程(參考版)
2024-09-03 18:34本頁(yè)面
【正文】 Deposition 。 forward interest rates v r ttt? ?11? ?v rt t t? ?11f vv mj jj? ????? ????? 1 1 ,r t vtt? ???? ???1 1 1r vttt? ?1 1v0 1?vvfmjjj??????????111Discount factors tvForward rates jfZerocoupon rates tr26 Valuation of FRA ? An FRA is equivalent to an agreement where interest at a predetermined rate, RK, is exchanged for interest at the market rate, R. – Reference rate R – Interest rate RK to be earned – Time period between T1 and T2 – Notional amount L 27 Valuation Rule of FRA ? FRA has the cash flow: L(R RK)(T2T1) at T2 ? An FRA can be valued by assuming that the forward interest rate is certain to be realized. – The value of the FRA promising RK is: – L(RF RK)(T2T1)P(0,T2) – P(0,T2) is the price of zero discount bond maturing at T2 with notional 1. ? Is there anything special about this rule? 28 FRA: Cash Flow Deposition Buying an FRA Floating rate deposit Starting t1 ending t2 Fixed rate Loan Starting t1 ending t2 = + 29 FRA: Cash Flow Deposition 30 Swap Price — Interest rate swap 0 2 n t 1 1 0 2 n t Cash Flow of Buyer Cash Flow of Seller 31 — Interest Rate Swap ? Quotation for LIBOR 32 — Pricing Par Bonds 0)1()1(10 ???????? ??nntt rP a rriP a rPN P VPar i? Par i? Par i?P0Par0 1 2 … n t Pa rPt h e nriIf ?? 0,33 — Zerocoupon pricing technique ? 0 1 2 …. n t Par Par Par*i Par*i Par*i Par 0 1 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。( )c u c dcru c c??? ? ? ?Relative
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