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Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Chapter 32Swaps Revisited Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Valuation of Swaps The standard approach is to assume that forward rates will be realized This works for plain vanilla interest rate and plain vanilla currency swaps, but does not necessarily work for non-standard swaps Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Variations on Vanilla Interest Rate Swaps Principal different on two sides Payment frequency different on two sides Can be floating-for-floating instead of floating-for-fixed It is still correct to assume that forward rates are realized How should a swap exchanging the 3-month LIBOR for 3-month CP rate be valued? Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Compounding Swaps (Business Snapshot 32.2, page 735) Interest is compounded instead of being paid Example: the fixed side is 6% compounded forward at 6.3% while the floating side is LIBOR plus 20 bps compounded forward at LIBOR plus 10 bps. This type of compounding swap can be valued (approximately) using the “assume forward rates are realized” rule. Approximation is exact if spread over LIBOR for compounding is zero Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Currency Swaps In theory, a swap where LIBOR in one currency is exchanged for LIBOR in another currency is worth zero In practice it is sometimes the case that LIBOR in currency A is exchanged for LIBOR plus a spread in currency B This necessitates a small adjustment to the “assume forward LIBOR rate are realiz