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2025-03-10 17:10本頁面
【正文】 rent YTM is % and the current price is 8217. You want to cash out now, but your accountant wants to defer the taxes until next year. The March Bond K is selling for 8009. Since each K is $100,000, you need to short 10 March Ks. In March you cash out with the Bond price = 7026 and the K price = 6629. What is the gain/loss? Cash Futures Basis Nov $825,312 $802,812 + (28) March $708,125 $669,062 + (329) Gain/Loss ($117,187) $133,750 + (121) Net Gain = $16,563 (= 121 x $1mil) Financial Futures The art in Financial futures is finding the exact number of contracts to make the gain/loss = $ 0. This is called the Hedge Ratio of Ks = X Hedge Ratio $ Face Value Cash $ Face Value of Futures K HR Goal Find the of Ks that will perfectly offset cash position. Hedge Ratio Determination 1 The Duration Model 2 Naive Hedging Model 3 Conversion Factor Model 4 Basis Point Model 5 Regression Model 6 Yield Forecast Model Swaps An agreement between two firms in which each firm agrees to exchange (or Swap) the “interest rate charachteristics” of two different financial instruments of identical principal. Types Interest Rate Swaps Currency Swaps Ex Interest Rate Swaps Aaa Corp Baa Corp . Fixed Loan 10% % . Variable Loan % % Swap Aaa Corp Borrows $1mil fixed loan 10% BAA Corp Borrows $1mil variable loan % Aaa assumes pmts on variable loan at % Baa assumes pmts on fixed loan % Aaa Benefit Baa Benefit Pay . % Pay . % Get . +% Get . + % Pay . % Pay . % . Sav + % . Sav +% Net Benefit + .50% Net Benefit + .75% Ex Interest Rate Swaps Aaa Corp Baa Corp . Fixed Loan 10% % . Variable Loan % % 演講完畢，謝謝觀看！
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