期权 期货以及其他衍生品(2)

Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.1SwapsChapter6Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.2NatureofSwapsAswapisanagreementtoexchangecashflowsatspecifiedfuturetimesaccordingtocertainspecifiedrulesOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.3AnExampleofa“PlainVanilla”InterestRateSwap•AnagreementbyMicrosofttoreceive6-monthLIBOR&payafixedrateof5%perannumevery6monthsfor3yearsonanotionalprincipalof$100million•NextslideillustratescashflowsOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.4---------MillionsofDollars---------LIBORFLOATINGFIXEDNetDateRateCashFlowCashFlowCashFlowMar.5,20014.2%Sept.5,20014.8%+2.10–2.50–0.40Mar.5,20025.3%+2.40–2.50–0.10Sept.5,20025.5%+2.65–2.50+0.15Mar.5,20035.6%+2.75–2.50+0.25Sept.5,20035.9%+2.80–2.50+0.30Mar.5,20046.4%+2.95–2.50+0.45CashFlowstoMicrosoft(SeeTable6.1,page127)Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.5TypicalUsesofanInterestRateSwap•Convertingaliabilityfrom–fixedratetofloatingrate–floatingratetofixedrate•Convertinganinvestmentfrom–fixedratetofloatingrate–floatingratetofixedrateOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.6IntelandMicrosoft(MS)TransformaLiability(Figure6.2,page128)IntelMSLIBOR5%LIBOR+0.1%5.2%Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.7FinancialInstitutionisInvolved(Figure6.4,page129)F.I.LIBORLIBORLIBOR+0.1%4.985%5.015%5.2%IntelMSOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.8IntelandMicrosoft(MS)TransformanAsset(Figure6.3,page128)IntelMSLIBOR5%LIBOR-0.25%4.7%Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.9FinancialInstitutionisInvolved(SeeFigure6.5,page129)IntelF.I.MSLIBORLIBOR4.7%5.015%4.985%LIBOR-0.25%Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.10TheComparativeAdvantageArgument(Table6.4,page132)•AAACorpwantstoborrowfloating•BBBCorpwantstoborrowfixedFixedFloatingAAACorp10.00%6-monthLIBOR+0.30%BBBCorp11.20%6-monthLIBOR+1.00%Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.11TheSwap(Figure6.6,page132)AAABBBLIBORLIBOR+1%9.95%10%Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.12TheSwapwhenaFinancialInstitutionisInvolved(Figure6.7,page133)AAAF.I.BBB10%LIBORLIBORLIBOR+1%9.93%9.97%Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.13CriticismoftheComparativeAdvantageArgument•The10.0%and11.2%ratesavailabletoAAACorpandBBBCorpinfixedratemarketsare5-yearrates•TheLIBOR+0.3%andLIBOR+1%ratesavailableinthefloatingratemarketaresix-monthrates•BBBCorp’sfixedratedependsonthespreadaboveLIBORitborrowsatinthefutureOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.14ValuationofanInterestRateSwap•Interestrateswapscanbevaluedasthedifferencebetweenthevalueofafixed-ratebondandthevalueofafloating-ratebond•Alternatively,theycanbevaluedasaportfolioofforwardrateagreements(FRAs)Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.15ValuationinTermsofBonds•Thefixedratebondisvaluedintheusualway•ThefloatingratebondisvaluedbynotingthatitisworthparimmediatelyafterthenextpaymentdateOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.16ValuationinTermsofFRAs•EachexchangeofpaymentsinaninterestrateswapisanFRA•TheFRAscanbevaluedontheassumptionthattoday’sforwardratesarerealizedOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.17AnExampleofaCurrencySwapAnagreementtopay11%onasterlingprincipalof£10,000,000&receive8%onaUS$principalof$15,000,000everyyearfor5yearsOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.18ExchangeofPrincipal•Inaninterestrateswaptheprincipalisnotexchanged•InacurrencyswaptheprincipalisexchangedatthebeginningandtheendoftheswapOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.19TheCashFlows(Table6.6,page140)YearDollarsPounds$------millions------2001–15.00+10.002002+1.20–1.102003+1.20–1.102004+1.20–1.102005+1.20–1.102006+16.20-11.10£Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.20TypicalUsesofaCurrencySwap•Conversionfromaliabilityinonecurrencytoaliabilityinanothercurrency•ConversionfromaninvestmentinonecurrencytoaninvestmentinanothercurrencyOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.21ComparativeAdvantageArgumentsforCurrencySwaps(Table6.7,page141)GeneralMotorswantstoborrowAUDQantaswantstoborrowUSDUSDAUDGeneralMotors5.0%12.6%Qantas7.0%13.0%Options,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.22ValuationofCurrencySwapsLikeinterestrateswaps,currencyswapscanbevaluedeitherasthedifferencebetween2bondsorasaportfolioofforwardcontractsOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.23Swaps&Forwards•Aswapcanberegardedasaconvenientwayofpackagingforwardcontracts•The“plainvanilla”interestrateswapinourexampleconsistedof6FRAs•The“fixedforfixed”currencyswapinourexampleconsistedofacashtransactionand5forwardcontractsOptions,Futures,andOtherDerivatives,5thedition©2002byJohnC.Hull6.24Swaps&Forw