衍生工具与风险管理第10章课件

D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:1Chapter10:SwapsIoncehadtoexplaintomyfatherthatthebankdidn’treallymakeitsmoneytakingdepositsandlendingoutmoneytopoorfolksotheycouldbuyhouses.Iexplainedthatthebankactuallytradedforaliving.StanJonasDerivativesStrategy,April,1998,p.19D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:2ImportantConceptsinChapter12TheconceptofaswapDifferenttypesofswaps,basedonunderlyingcurrency,interestrate,orequityPricingandvaluationofswapsStrategiesusingswapsD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:3DefinitionofaswapFourtypesofswapsCurrencyInterestrateEquityCommodity(notcoveredinthisbook)CharacteristicsofswapsNocashupfrontNotionalprincipalSettlementdate,settlementperiodCreditriskDealermarketSeeFigure12.1,p.426forgrowthinworld-widenotionalprincipalD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:4InterestRateSwapsTheStructureofaTypicalInterestRateSwapExample:OnDecember15XYZentersinto$50millionNPswapwithABSwaps.Paymentswillbeon15thofMarch,June,September,Decemberforoneyear,basedonLIBOR.XYZwillpay7.5%fixedandABSwapswillpayLIBOR.Interestbasedonexactdaycountand360days(30permonth).Ingeneralthecashflowtothefixedpayerwillbe365or360Daysrate)Fixed-(LIBORprincipal)(NotionalD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:5InterestRateSwaps(continued)TheStructureofaTypicalInterestRateSwap(continued)ThepaymentsinthisswaparePaymentsarenetted.SeeFigure12.2,p.428forpaymentpatternSeeTable12.1,p.429forsampleofpaymentsafter-the-fact.360Days.075)-00)(LIBOR($50,000,0D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:6InterestRateSwaps(continued)ThePricingandValuationofInterestRateSwapsHowisthefixedratedetermined?Adigressiononfloating-ratesecurities.ThepriceofaLIBORzerocouponbondformaturityoftidaysis•Startingatthematuritydateandworkingback,weseethatthepriceisparoneachcoupondate.SeeFigure12.3,p.430./360))(t(tL11)(tBii0i0D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:7InterestRateSwaps(continued)ThePricingandValuationofInterestRateSwaps(continued)Byaddingthenotionalprincipalsattheend,wecanseparatethecashflowstreamsofaninterestrateswapintothoseofafixed-ratebondandafloating-ratebond.SeeFigure12.4,p.431.Thevalueofafixed-ratebond(q=days/360):n1in0i0FXRB)(tB)(tRqBVD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:8InterestRateSwaps(continued)ThePricingandValuationofInterestRateSwaps(continued)Thevalueofafloating-ratebondAttimet,between0and1,Thevalueoftheswap(payfixed,receivefloating)is,therefore,date)paymentaor0(attime1VFLRB1)and0datespayment(betweent)/360)(t(tL1)q(tL1V11t10FLRBFXRBFLRBVVVSD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:9InterestRateSwaps(continued)ThePricingandValuationofInterestRateSwaps(continued)Topricetheswapatthestart,setthisvaluetozeroandsolveforRSeeTable12.2,p.433foranexample.NotehowdealersquoteasaspreadoverTreasuryrate.Tovalueaswapduringitslife,simplyfindthedifferencebetweenthepresentvaluesofthetwostreamsofpayments.SeeTable12.3,p.434.Marketvaluereflectstheeconomicvalue,isnecessaryforaccounting,andgivesanindicationofthecreditrisk.n1ii0n0)(tB)(tB11RqD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:10InterestRateSwaps(continued)ThePricingandValuationofInterestRateSwaps(continued)Abasisswapisequivalenttothedifferencebetweentwoplainvanillaswapsbasedondifferentrates:•AswaptopayT-bill,receivefixed,plus•Aswaptopayfixed,receiveLIBOR,equals•AswaptopayT-bill,receiveLIBOR,pluspaythedifferencebetweentheLIBORandT-billfixedrates•SeeTables12.4and12.5,p.436forexamplesofpricingandvaluationofabasisswap.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:11InterestRateSwaps(continued)InterestRateSwapStrategiesSeeFigure12.5,p.437forexampleofconvertingfloating-rateloanintofixed-rateloanOthertypesofswaps•Indexamortizingswaps•Diffswaps•ConstantmaturityswapsD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:12CurrencySwapsExample:RestonTechnologyentersintocurrencyswapwithGSI.Restonwillpayeurosat4.35%basedonNPof€10millionsemiannuallyfortwoyears.GSIwillpaydollarsat6.1%basedonNPof$9.804millionsemiannuallyfortwoyears.Notionalprincipalswillbeexchanged.SeeFigure12.6,p.440.NotetherelationshipbetweeninterestrateandcurrencyswapsinFigure12.7,p.441.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.12:13CurrencySwaps(continued)PricingandValuationofCurrencySwapsLetdollarnotionalprincipalbeNP$.TheneuronotionalprincipalisNP€=1/S0foreverydollarnotionalprincipal.Hereeuronotionalprincipalwillbe€10million.WithS0=$0.9804,NP$=$9,804,000.Forfixedpayments,weusethefixedrateonplainvanillaswapsinthatcurrency,R$orR€.Nopricingisrequiredforthefloatingsideofacurrencyswap.SeeTable12.6,p.443.Duringthelifeoftheswap,wevalueitbyfindingthedifferenceinthepresentvaluesofthetwostreamsofpayments,adjustingforthenotion