TheCurvatureandSlopeinCreditSpreadTermStructureCurve教学幻灯片讲义.ppt

What is the value of swap to the LIBOR payer? The LIBOR payment on April 2 is known to be 225,000. Its present value is 225,000*exp(-0.091*32/365)=223,212. The receipt on April 2 subject to the SP500 index performance is [(IA2-IJ2)/IJ2-0.1%]*100m. Its present value is [(460.1-469.75-0.001*469.75)*100m/469.75]*exp(-0.091*32/365)=-2,137,166. The total value =-223,212-2,137,166=-2,360,378. ·??????? Commodity swaps -???????? In a typical commodity swap, one counter-party makes periodic payments to the second counter-party at a fixed price per unit for a given notional quantity of some commodity.