Chapter 24 Swap Contracts, Convertible Securities(投资分析与投资组合管理)解析.pptVIP

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Chapter 24 Swap Contracts, Convertible Securities(投资分析与投资组合管理)解析.ppt

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Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K. Reilly Keith C. Brown Chapter 24 - Swap Contracts, Convertible Securities, and Other Embedded Derivatives Questions to be answered: What are forward rate agreements and how can they be used to reduce the interest rate exposure of a borrower or investor? What are interest rate swaps and how can they transform the cash flows of a fixed or floating rate security? How does the swap market operate and how are swap contracts quoted and priced? Chapter 24 - Swap Contracts, Convertible Securities, and Other Embedded Derivatives How can swaps be interpreted as a pair of capital market transactions and how does this aid in the swap valuation process? How is credit risk measured in the interest rate swap market? What are interest rate caps and floors and how are they related to interest rate swaps? Chapter 24 - Swap Contracts, Convertible Securities, and Other Embedded Derivatives How does a currency swap differ from a “plain vanilla” interest rate swap and what is it used for? How can the swap contracting concept be adapted to manage equity and commodity price risk? Chapter 24 - Swap Contracts, Convertible Securities, and Other Embedded Derivatives How do the derivatives in convertible securities and warrant issues differ from traditional exchange-traded products? What are the similarities and differences between convertible preferred stock and convertible bonds? Chapter 24 - Swap Contracts, Convertible Securities, and Other Embedded Derivatives What are structured notes and what factors make their existence possible? How can securities with embedded derivatives reduce the funding cost of a corporate borrower? What are real options and how can an investor use them to value company flexibility? OTC Interest Rate Agreements Forward-based interest rate contracts Forward Rate Agreement (FRA) two parties agree today to a future exchange of cash flows based on two