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当前位置:首页 > 商业/管理/HR > 管理学资料 > Chapter5Swaps(期权期货及其衍生市场-厦门大学,郑振龙)
Chapter5SwapsNatureofSwapsAswapisanagreementtoexchangecashflowsatspecifiedfuturetimesaccordingtocertainspecifiedrules互换与掉期的区别互换和掉期在英文中都叫Swap,因此很多人误把它们混为一谈。实际上,两者有很大区别。合约与交易的区别掉期是外汇市场上的一种交易方法,是指对不同期限,但金额相等的同种外汇作两笔反方向的交易,它并没有实质的合约,更不是一种衍生工具。而互换则有实质的合约,是一种重要的衍生工具。有无专门市场不同掉期在外汇市场上进行,它本身没有专门的市场。互换则在专门的互换市场上交易。比较优势理论与互换原理比较优势(ComparativeAdvantage)理论是英国著名经济学家大卫李嘉图(DavidRicardo)提出的。李嘉图的比较优势理论不仅适用于国际贸易,而且适用于所有的经济活动。只要存在比较优势,双方就可通过适当的分工和交换使双方共同获利。人类进步史,实际上就是利用比较优势进行分工和交换的历史。互换是比较优势理论在金融领域最生动的运用。根据比较优势理论,只要满足以下两种条件,就可进行互换:双方对对方的资产或负债均有需求;双方在两种资产或负债上存在比较优势。TheComparativeAdvantageArgumentCompanyAwantstoborrowfloatingCompanyBwantstoborrowfixedFixedFloatingCompanyA10.00%6-monthLIBOR+0.30%CompanyB11.20%6-monthLIBOR+1.00%合作收益不合作:(LIBOR+0.3%)+11.20%=LIBOR+11.50%合作:10%+(LIBOR+1%)=LIBOR+11%合作的总收益:0.50%假设双方平分合作收益,则A的筹资成本应为(LIBOR+0.3%)-0.25%=LIBOR+0.05%,B的筹资成本应为11.2%-0.25%=10.95%TheSwapABLIBORLIBOR+1%9.95%10%CriticismoftheComparativeAdvantageArgumentThe10.0%and11.2%ratesavailabletoAandBinfixedratemarketsare5-yearratesTheLIBOR+0.3%andLIBOR+1%ratesavailableinthefloatingratemarketaresix-monthratesB’sfixedratedependsonthespreadaboveLIBORitborrowsatinthefutureAlthoughAfacesnomarketrisk,hedoesfacedefaultrisk.金融互换的功能通过金融互换可在全球各市场之间进行套利,从而一方面降低筹资者的融资成本或提高投资者的资产收益,另一方面促进全球金融市场的一体化。利用金融互换,可以管理资产负债组合中的利率风险和汇率风险。金融互换为表外业务,可以逃避外汇管制、利率管制及税收限制。金融互换的种类金融互换虽然历史较短,但品种创新却日新月异。除了传统的货币互换和利率互换外,一大批新的金融互换品种不断涌现。AnExampleofa“PlainVanilla”InterestRateSwapOnMarch1,1999,anagreementby“CompanyB”toreceive6-monthLIBOR&payafixedrateof5%perannumevery6monthsfor3yearsonanotionalprincipalof$100millionNextslideillustratescashflowsCashFlowstoCompanyB---------MillionsofDollars---------LIBORFLOATINGFIXEDNetDateRateCashFlowCashFlowCashFlowMar.1,19994.2%Sept.1,19994.8%+2.10–2.50–0.40Mar.1,20005.3%+2.40–2.50–0.10Sept.1,20005.5%+2.65–2.50+0.15Mar.1,20015.6%+2.75–2.50+0.25Sept.1,20015.9%+2.80–2.50+0.30Mar.1,20026.4%+2.95(+100)–2.50(-100)+0.45TypicalUsesofanInterestRateSwapConvertingaliabilityfromfixedratetofloatingratefloatingratetofixedrateConvertinganinvestmentfromfixedratetofloatingratefloatingratetofixedrateAandBTransformaLiabilityABLIBOR5%LIBOR+0.8%5.2%FinancialInstitutionisInvolvedAF.I.BLIBORLIBOR4.985%5.015%5.2%LIBOR+0.8%AandBTransformanAssetABLIBOR5%LIBOR-0.25%4.7%FinancialInstitutionisInvolvedAF.I.BLIBORLIBOR4.7%5.015%4.985%LIBOR-0.25%ValuationofanInterestRateSwapInterestrateswapscanbevaluedasthedifferencebetweenthevalueofafixed-ratebond&thevalueofafloating-ratebondAlternatively,theycanbevaluedasaportfolioofforwardrateagreements(FRAs)ValuationinTermsofBondsThefixedratebondisvaluedintheusualwayThefloatingratebondisvaluedbynotingthatitisworthparimmediatelyafterthenextpaymentdatenitrtrfixnniiQekeB11)(*trfliekQBValuationinTermsofFRAsEachexchangeofpaymentsinaninterestrateswapisanFRATheFRAscanbevaluedontheassumptionthattoday’sforwardratesarerealizedAnExampleofaCurrencySwapAnagreementtopay11%onasterlingprincipalof£10,000,000&receive8%onaUS$principalof$15,000,000everyyearfor5yearsExchangeofPrincipalInaninterestrateswap,theprincipalisnotexchangedInacurrencyswaptheprincipalisexchangedatthebeginning&theendoftheswapTheCashFlowsDollarsPoundsYears$------millions------0–15.00+10.001+1.20–1.102+1.20–1.103+1.20–1.104+1.20–1.105+16.20-11.10£TypicalUsesofaCurrencySwapConversionfromaliabilityinonecurrencytoaliabilityinanothercurrencyConversionfromaninvestmentinonecurrencytoaninvestmentinanothercurrencyComparativeAdvantageArgumentsforCurrencySwapsCompanyAwantstoborrowAUDCompanyBwantstoborrowUSDUSDAUDCompanyA5.0%12.6%CompanyB7.0%13.0%ValuationofCurrencySwapsLikeinterestrateswaps,currencyswapscanbevaluedeitherasthedifferencebetween2bondsorasaportfolioofforwardcontractsSwaps&ForwardsAswapcanberegardedasaconvenientwayofpackagingforwardcontractsThe“plainvanilla”interestrateswapinourexampleconsistedof6FRAsThe“fixedforfixed”currencyswapinourexampleconsistedofacashtransaction&5forwardcontractsSwaps&Forwards(continued)ThevalueoftheswapisthesumofthevaluesoftheforwardcontractsunderlyingtheswapSwapsarenormally“atthemoney”initiallyThismeansthatitcostsNOTHINGtoenterintoaswapItdoesNOTmeanthateachforwardcontractunderlyingaswapis“atthemoney”initiallyCreditRiskAswapisworthzerotoacompanyinitiallyAtafuturetimeitsvalueisliabletobeeitherpositiveornegativeThecompanyhascreditriskexposureonlywhenitsvalueispositive其他种类的互换交叉货币利率互换。交叉货币利率互换(Cross—CurrencyInterestRateSwaps)是利率互换和货币互换的结合,它是以一种货币的固定利率交换另一种货币的浮动汇率。增长型互换、减少型互换和滑道型互换。在标准的互换中,名义本金是不变的,而在这三种互换中,名义本金是可变的。其中增长型互换(AccretingSwaps)的名义本金在开始时较小,尔后随着时间的推移逐渐增大。减少型互换(AmortizingSwaps)则正好相反,其名义本金随时间的推移逐渐变小。近年来,互换市场又出现了一种特殊的减少型互换,即指数化本金互换(IndexedPrincipalSwaps),某名义本金的减少幅度取决于利率水平,利率越低,名义本金减少幅度越大。滑道型互换(Roller-CoasterSwaps)的名义本金则在互换期内时而增大,时而变小。基点互换。在普通的利率互换中,互换一方是固定利率,另一方是浮动利率。而在基点互换(BasisSwaps)中,双方都是浮动利率,只是两种浮动利率的参照利率不同,如一方为LIBOR,另一方为基准利率。可延长互换和可赎回互换。在标准的互换中,期限是固定的。而可延长互换(ExtendableSwaps)的一方有权在一定限度内延长互换期限。可赎回互换(PuttableSwaps)的一方则有权提前中止互换。零息互换。零息互换(Zero—CouponSwaps)是指固定利息的多次支付流量被一次性的支付所取代,该一次性支付可以在互换期初也可在期未。其他种类的互换(继续)后期确定互换。在普通涉及到浮动利率的互换中,每次浮动利率都是在该计息期开始之前
本文标题:Chapter5Swaps(期权期货及其衍生市场-厦门大学,郑振龙)
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