期货期权及其衍生品配套课件(全34章)Ch.ppt

Swaps,Chapter 7,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,1,Nature of Swaps,A swap is an agreement to exchange cash flows at specified future times according to certain specified rules,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,2,An Example of a“Plain Vanilla”Interest Rate Swap,An agreement by Microsoft to receive 6-month LIBOR&pay a fixed rate of 5%per annum every 6 months for 3 years on a notional principal of$100 millionNext slide illustrates cash flows that could occur,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,3,Cash Flows to Microsoft(See Table 7.1,page 149),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,4,Typical Uses of anInterest Rate Swap,Converting a liability fromfixed rate to floating rate floating rate to fixed rate Converting an investment from fixed rate to floating ratefloating rate to fixed rate,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,5,Intel and Microsoft(MS)Transform a Liability(Figure 7.2,page 150),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,6,Financial Institution is Involved(Figure 7.4,page 151),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,7,Financial Institution has two offsetting swaps,Intel and Microsoft(MS)Transform an Asset(Figure 7.3,page 151),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,8,Financial Institution is Involved(See Figure 7.5,page 152),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,9,Quotes By a Swap Market Maker(Table 7.3,page 153),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,10,The Comparative Advantage Argument(Table 7.4,page 155),AAACorp wants to borrow floatingBBBCorp wants to borrow fixed,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,11,The Swap(Figure 7.6,page 156),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,12,The Swap when a Financial Institution is Involved(Figure 7.7,page 156),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,13,Criticism of the Comparative Advantage Argument,The 4.0%and 5.2%rates available to AAACorp and BBBCorp in fixed rate markets are 5-year ratesThe LIBOR0.1%and LIBOR+0.6%rates available in the floating rate market are six-month ratesBBBCorps fixed rate depends on the spread above LIBOR it borrows at in the future,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,14,The Nature of Swap Rates,Six-month LIBOR is a short-term AA borrowing rate The 5-year swap rate has a risk corresponding to the situation where 10 six-month loans are made to AA borrowers at LIBORThis is because the lender can enter into a swap where income from the LIBOR loans is exchanged for the 5-year swap rate,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,15,Using Swap Rates to Bootstrap the LIBOR/Swap Zero Curve,Consider a new swap where the fixed rate is the swap rateWhen principals are added to both sides on the final payment date the swap is the exchange of a fixed rate bond for a floating rate bondThe floating-rate rate bond is worth par.The swap is worth zero.The fixed-rate bond must therefore also be worth par This shows that swap rates define par yield bonds that can be used to bootstrap the LIBOR(or LIBOR/swap)zero curve,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,16,Valuation of an Interest Rate Swap That Is Not New,Interest rate swaps can be valued as the difference between the value of a fixed-rate bond and the value of a floating-rate bondAlternatively,they can be valued as a portfolio of forward rate agreements(FRAs),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,17,Valuation in Terms of Bonds,The fixed rate bond is valued in the usual wayThe floating rate bond is valued by noting that it is worth par immediately after the next payment date,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,18,Example,Pay six-month LIBOR,receive 8%(pounding)on a principal of$100 millionRemaining life 1.25 yearsLIBOR rates for 3-months,9-months and 15-months are 10%,10.5%,and 11%(cont comp)6-month LIBOR on last payment date was 10.2%(pounding),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,19,Valuation Using Bonds(page 160),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,20,Valuation in Terms of FRAs,Each exchange of payments in an interest rate swap is an FRAThe FRAs can be valued on the assumption that todays forward rates are realized,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,21,Valuation of Example Using FRAs(page 162),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,22,An Example of a Currency Swap,An agreement to pay 5%on a sterling principal of 10,000,000&receive 6%on a US$principal of$18,000,000 every year for 5 years,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,23,Exchange of Principal,In an interest rate swap the principal is not exchangedIn a currency swap the principal is usually exchanged at the beginning and the end of the swaps life,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,24,The Cash Flows(Table 7.7,page 164),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,25,Year,Dollars,Pounds,$,-millions-,2004,18.00,+10.00,2005,+1.08,0.50,2006,+1.08,0.50,2007,+1.08,0.50,2008,+1.08,0.50,2009,+19.08,10.50,Typical Uses of a Currency Swap,Conversion from a liability in one currency to a liability in another currencyConversion from an investment in one currency to an investment in another currency,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,26,Comparative Advantage Arguments for Currency Swaps(Table 7.8,page 165),General Electric wants to borrow AUDQantas wants to borrow USD,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,27,Valuation of Currency Swaps,Like interest rate swaps,currency swaps can be valued either as the difference between 2 bonds or as a portfolio of forward contracts,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,28,Example,All Japanese LIBOR/swap rates are 4%All USD LIBOR/swap rates are 9%5%is received in yen;8%is paid in dollars.Payments are made annuallyPrincipals are$10 million and 1,200 million yenSwap will last for 3 more yearsCurrent exchange rate is 110 yen per dollar,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,29,Valuation in Terms of Bonds(Table 7.9,page 167),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,30,Valuation in Terms of Forwards(Table 7.10,page 168),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,31,Swaps&Forwards,A swap can be regarded as a convenient way of packaging forward contractsAlthough the swap contract is usually worth zero at the outset,each of the underlying forward contracts are not worth zero,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,32,Credit Risk,A swap is worth zero to a company initiallyAt a future time its value is liable to be either positive or negativeThe company has credit risk exposure only when its value is positiveSome swaps are more likely to lead to credit risk exposure than othersWhat is the situation if early forward rates have a positive value?What is the situation when the early forward rates have a negative value?,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,33,Other Types of Swaps,Floating-for-floating interest rate swaps,amortizing swaps,step up swaps,forward swaps,constant maturity swaps,compounding swaps,LIBOR-in-arrears swaps,accrual swaps,diff swaps,cross currency interest rate swaps,equity swaps,extendable swaps,puttable swaps,swaptions,commodity swaps,volatility swaps.,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,34,