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1、Chapter 5 SwapsNature of SwapsA s an agreement to exchange cash flows at specified future times according to certain specified rules互换与掉期的区别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
2、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理论与互换原理比较优势(Comparative Advantage)理论是英国著名经济学家大卫李嘉图(David Ricardo)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
3、优势。The Comparative Advantage Argument Company A wants to borrow floatingCompany B wants to borrow fixedFixed Floating Company A10.00%6-month LIBOR+0.30%Company B11.20%6-month LIBOR+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.
4、25%=LIBOR+0.05%,B的筹资成本应为11.2%-0.25%=10.95%The Swap ABLIBORLIBOR+1%9.95%10%Criticism of the Comparative Advantage ArgumentThe 10.0%and 11.2%rates available to A and B in fixed rate markets are 5-year ratesThe LIBOR+0.3%and LIBOR+1%rates available in the floating rate market are six-month ratesBs fixe
5、d rate depends on the spread above LIBOR it borrows at in the future Although A faces no market risk,he does face default risk.金融互换的功能金融互换的功能 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
6、互换和利率互换外,一大批新的金融互换品种不断涌现。An Example of a“Plain Vanilla”Interest Rate SwapOn March 1,1999,an agreement by“Company B”to receive 6-month LIBOR&pay a fixed rate of 5%per annum every 6 months for 3 years on a notional principal of$100 millionNext slide illustrates cash flowsCash Flows to Company B -Milli
7、ons of Dollars-LIBORFLOATING FIXED NetDateRateCash Flow Cash Flow Cash FlowMar.1,19994.2%Sept.1,19994.8%+2.102.500.40Mar.1,20005.3%+2.402.500.10Sept.1,20005.5%+2.652.50+0.15Mar.1,20015.6%+2.752.50+0.25Sept.1,20015.9%+2.802.50+0.30Mar.1,20026.4%+2.95(+100)2.50(-100)+0.45Typical Uses of anInterest Rat
8、e SwapConverting a liability fromfixed rate to floating rate floating rate to fixed rate Converting an investment from fixed rate to floating ratefloating rate to fixed rate A and B Transform a LiabilityABLIBOR5%LIBOR+0.8%5.2%Financial Institution is Involved AF.I.BLIBORLIBOR4.985%5.015%5.2%LIBOR+0.
9、8%A and B Transform an Asset ABLIBOR5%LIBOR-0.25%4.7%Financial Institution is Involved AF.I.BLIBORLIBOR4.7%5.015%4.985%LIBOR-0.25%Valuation of an Interest Rate SwapInterest rate swaps can be valued as the difference between the value of a fixed-rate bond&the value of a floating-rate bondAlternativel
10、y,they can be valued as a portfolio of forward rate agreements(FRAs)Valuation in Terms of BondsThe fixed rate bond is valued in the usual way The floating rate bond is valued by noting that it is worth par immediately after the next payment date Valuation in Terms of FRAsEach exchange of payments in
11、 an interest rate s an FRAThe FRAs can be valued on the assumption that todays forward rates are realizedAn Example of a Currency Swap An agreement to pay 11%on a sterling principal of 10,000,000&receive 8%on a US$principal of$15,000,000 every year for 5 yearsExchange of PrincipalIn an interest rate
12、 swap,the principal is not exchangedIn a currency s principal is exchanged at the beginning&the end of the swapThe Cash Flows Dollars PoundsYears$-millions-0 15.00 +10.001+1.20 1.102 +1.20 1.10 3 +1.20 1.104 +1.20 1.10 5+16.20 -11.10 Typical Uses of a Currency SwapConversion from a liability in one
13、currency to a liability in another currencyConversion from an investment in one currency to an investment in another currencyComparative Advantage Arguments for Currency Swaps Company A wants to borrow AUDCompany B wants to borrow USDUSDAUDCompany A 5.0%12.6%Company B 7.0%13.0%Valuation of Currency
14、SwapsLike interest rate swaps,currency swaps can be valued either as the difference between 2 bonds or as a portfolio of forward contractsSwaps&ForwardsA s be regarded as a convenient way of packaging forward contractsThe“plain vanilla”interest rate s our example consisted of 6 FRAsThe“fixed for fix
15、ed”currency s our example consisted of a cash transaction&5 forward contractsSwaps&Forwards(continued)The value of the s the sum of the values of the forward contracts underlying the swap Swaps are normally“at the money”initiallyThis means that it costs NOTHING to enter into a swapIt does NOT mean t
16、hat each forward contract underlying a s“at the money”initiallyCredit RiskA s worth zero to a company initiallyAt a future time its value is liable to beeither positive or negativeThe company has credit risk exposure only when its value is positive其他种类的互换交叉货币利率互换。交叉货币利率互换(CrossCurrency Interest Rate
17、 Swaps)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(Accreting Swaps)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(Amortizing Swaps)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(Indexed Principal Swaps),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(RollerCoa
18、ster Swaps)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(Basis Swaps)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(Extendable Swaps)的一方有权在一定限度内延长互换期限。可赎回互换(Puttable Swaps)的一方则有权提前中止互换。零息互换。零息互换(ZeroCoupon Swaps)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
19、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确定的。后期确定互换(BackSet Swaps)的浮动利率则是在每次计息期结束之后确定的。差额互换。差额互换(Differential Swaps)是对两种货币的浮动利率的现金流量进行交换,只是两种利息现金流量均按同种货币的相同名义本金计算。如互换一方按6月期美元的LIBOR对1000美元的名义本金支付利息,另一方按6月期德国马克的LIBOR减去1.90%的浮动利率对1000万美元的名义本金支付以美元表示的利息。远期互换。远期互换(Forward Swaps)是指互换生效日是在未来某一
20、确定时间开始的互换。互换期权。互换期权(S)从本质上属于期权而不是互换,该期权的标的物为互换。例如,利率互换期权本质上是把固定利率交换为浮动利率,或把浮动利率交换为固定利率的权利。但许多机构在统计时都把互换期权列入互换的范围。股票互换。股票互换(Equity Swaps)是以股票指数产生的红利和资本利得与固定利率或浮动利率交换。投资组合管理者可以用股票互换把债券投资转换成股票投资,反之亦然。1、有时候读书是一种巧妙地避开思考的方法。3月-233月-23Sunday,March 5,20232、阅读一切好书如同和过去最杰出的人谈话。13:36:4313:36:4313:363/5/2023 1:
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