Chapter5Swaps(期权期货及其衍生市场-厦门大学)ppt课件

1、Chapter 5 Swaps.Nature of SwapsA swap is 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和掉期在英文中都叫Swap，因此很多人误把它们混为一谈。实践上，两者有很大区别。合约与买卖的区别掉期是外汇市场上的一种买卖方法，是指对不同期限，但金额相等的同种外汇作两笔反方向的买卖，它并没有本质的合约，更不是一种衍生工具。而互换那么有本质的合约，是一种重要的衍生工具。有无专门市场不同掉期在外汇市

2、场上进展，它本身没有专门的市场。互换那么在专门的互换市场上买卖。. 比较优势实际与互换原理比较优势Comparative Advantage实际是英国著名经济学家大卫李嘉图David Ricardo提出的。 李嘉图的比较优势实际不仅适用于国际贸易，而且适用于一切的经济活动。只需存在比较优势，双方就可经过适当的分工和交换使双方共同获利。人类提高史，实践上就是利用比较优势进展分工和交换的历史。互换是比较优势实际在金融领域最生动的运用。根据比较优势实际，只需满足以下两种条件，就可进展互换：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。.The Comparative Advan

3、tage 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%.协作收益不协作:(LIBOR+0.3%)+11.20% =LIBOR+11.50%协作:10%+(LIBOR+1%)=LIBOR+11%协作的总收益:0.50%假设双方平分协作收益,那么A的筹资本钱应为(LIBOR+0.3%)-0.25%=LIBOR+0.05%,

4、B的筹资本钱应为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 fixed rate dep

5、ends 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 经过金融互换可在全球各市场之间进展套利，从而一方面降低筹资者的融资本钱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，可以逃避外汇控制、利率控制及税收限制。 . 金融互换的种类金融互换虽然历史较短，但种类创新却日新月异。除了传统的货币互换和利率互换外，一大批

6、新的金融互换种类不断涌现。.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 flows.Cash Flows to Company B -Millions

7、of Dollars-LIBORFLOATING FIXED NetDateRateCash FlowCash FlowCash 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)+0.45.Typical Uses of anInteres

8、t Rate 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%L

9、IBOR+0.8%.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 bond

10、Alternatively, 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 exchang

11、e of payments in an interest rate swap is an FRAThe FRAs can be valued on the assumption that todays forward rates are realized.An 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 years.Exchange o

12、f PrincipalIn an interest rate swap, the principal is not exchangedIn a currency swap the principal is exchanged at the beginning & the end of the swap.The 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 Curre

13、ncy SwapConversion from a liability in one currency to a liability in another currencyConversion from an investment in one currency to an investment in another currency.Comparative Advantage Arguments for Currency Swaps Company A wants to borrow AUDCompany B wants to borrow USDUSDAUDCompany A 5.0%12

14、.6%Company B 7.0%13.0%.Valuation of Currency SwapsLike interest rate swaps, currency swaps can be valued either as the difference between 2 bonds or as a portfolio of forward contracts.Swaps & ForwardsA swap can be regarded as a convenient way of packaging forward contractsThe “plain vanilla interes

15、t rate swap in our example consisted of 6 FRAsThe “fixed for fixed currency swap in our example consisted of a cash transaction & 5 forward contracts.Swaps & Forwards(continued)The value of the swap is the sum of the values of the forward contracts underlying the swap Swaps are normally “at the mone

16、y initiallyThis means that it costs NOTHING to enter into a swapIt does NOT mean that each forward contract underlying a swap is “at the money initially.Credit RiskA swap is worth zero to a company initiallyAt a future time its value is liable to beeither positive or negativeThe company has credit r

17、isk 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 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。在规范的互换中，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的名义本金在开场时较小，尔后随着时间的推移逐渐增大。减少型互换Amortizing Swaps那么正好相反，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

18、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程度，利率越低，名义本金减少幅度越大。滑道型互换RollerCoaster Swaps的名义本金那么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。可延伸互换和可赎回互换。在规范的互换中，期限是固定的。而可延伸互换Extendable Swaps的一方有权在一定限制内延伸互换期限。可赎回互换Puttable Swaps的一方那么有权提早中止互换。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场之前确定的。后期确定互换BackSet Swaps的浮动利率那么是在每次计息期终了之后确定的。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展交换，只是两种利息现金流量均按同种货币的一样名义本金计算。如互换一方按6月期美圆的LIBOR对1000美圆的名