期權(quán)期貨以及其他衍生品(2)-文庫吧資料
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【正文】 ars Pounds $ millions 2021 – + 2021 + – 2021 + – 2021 + – 2021 + – 2021 + 163。 receive 8% on a US$ principal of $15,000,000 every year for 5 years Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull An Example of a Currency Swap An agreement to pay 11% on a sterling principal of 163。 2021 by John C. Hull Valuation in Terms of Bonds ? The fixed rate bond is valued in the usual way ? The floating rate bond is valued by noting that it is worth par immediately after the next payment date Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Criticism of the Comparative Advantage Argument ? The % and % rates available to AAACorp and BBBCorp in fixed rate markets are 5year rates ? The LIBOR+% and LIBOR+1% rates available in the floating rate market are sixmonth rates ? BBBCorp’s fixed rate depends on the spread above LIBOR it borrows at in the future Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull The Swap (Figure , page 132) AAA BBB LIBOR LIBOR+1% % 10% Options, Futures, and Other Derivatives, 5th edition 169。 2021 by John C. Hull Financial Institution is Involved (See Figure , page 129) Intel . MS LIBOR LIBOR % % % % Option
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