[经济学]第五章 互换类衍生金融工具.pdfVIP

第五章 互换类衍生金融工具 第一节 互换类衍生金融工具概述 第二节 互换的原理 第三节 互换的应用 第一节 互换类衍生金融工具概述 一、金融互换的定义 金融互换 （Financial Swaps）是约定两个 或两个以上当事人按照商定条件，在约定的 时间内，交换一系列现金流的合约。 远期合约可以被看作仅交换一次现金流的互 换。在大多数情况下，互换协议的双方通常 会约定在未来多次交换现金流，因此互换可 以看作是一系列远期的组合。 主要的互换品种 利率互换 货币互换 股权互换 商品互换 信用违约互换 利率互换 （Interest Rate Swap，IRS ）是指双方同 意在未来的一定期限内根据同种货币的相同名义 本金交换现金流，其中一方的现金流根据事先选 定的某一浮动利率计算，而另一方的现金流则根 据固定利率计算。  Example(Interest Rate Swap) : Suppose that on 15 December, GE borrows money for one year from the Bank of America. The loan is for $25 million and specifies that GE will make interest payments on a quarterly basis on the 15th of March, June, September, and December for one year at the rate of LIBOR plus 25 basis points. At the end of the year, it will pay back the principal.  GE believes that it is getting a good rate, but fearing a rise in interest rates, it would prefer a fixed-rate loan. Suppose it approaches JPM and requests a quote on a swap to pay a fixed rate and receive LIBOR, with payments on the dates of its loan payments.  JPM prices the swap and quotes a fixed rate of 6.2 percent. The fixed a payments will be made based on a day count of 90/365, and the floating payments will be made based on 90/360. Current LIBOR is 5.9 percent.  Therefore, the first fixed payment, which GE makes to JPM, is $25,000,000 ×(0.062) ×(90/365)=$382,192 The first floating payment, which B makes to A, is $25,000,000 ×(0.059) ×(90/360)=$368,750 GE’s Conversion of a Floating-Rate Loan to a Fixed-Rate Loan Using an Interest Rate Swap with JPM Floating payments LIBOR GE JPM Fixed payments at 6.2% Interest payments at LIBOR+25bps Net effect: GE pays