期货期权及其衍生品配套课件（全34章）Ch32.pptVIP

Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Swaps Revisited Chapter 32 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * 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, 7th International Edition, Copyright ? John C. Hull 2008 * 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, 7th International Edition, Copyright ? John C. Hull 2008 * Compounding Swaps (Business Snapshot 32.2, page 723) 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 using the “assume forward rates are realized” rule. Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Currency Swaps Standard currency swaps can be valued using the “assume forward LIBOR rate are realized” rule. Sometimes banks make a small adjustment because LIBOR in currency A is exchanged for LIBOR plus a spread in currency B Options, Futures, and Other Derivatives, 7th International Edi