Chapter 11 Interest Rate Forwards and Options 衍生工具与风险相关管理课件.pptVIP

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Chapter 11 Interest Rate Forwards and Options 衍生工具与风险相关管理课件.ppt

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Chapter 11 Interest Rate Forwards and Options 衍生工具与风险相关管理课件.ppt

Chapter 11: Interest Rate Forwards and Options;Important Concepts in Chapter 13;A derivative on an interest rate: The payoff of a derivative on a bond is based on the price of the bond relative to a fixed price. The payoff of a derivative on an interest rate is based on the interest rate relative to a fixed interest rate. In some cases these can be shown to be the same, particularly in the case of a discount instrument. In most other cases, however, a derivative on an interest rate is a different instrument than a different on a bond. See Figure 13.1, p. 467 for notional principal of FRAs and interest rate options over time.;Forward Rate Agreements;Forward Rate Agreements (continued);Forward Rate Agreements (continued);Forward Rate Agreements (continued);Forward Rate Agreements (continued);Forward Rate Agreements (continued);Interest Rate Options;Interest Rate Options (continued);Interest Rate Options (continued);Interest Rate Options (continued);Interest Rate Options (continued);Interest Rate Options (continued);Interest Rate Options (continued);Interest Rate Options (continued);Interest Rate Options (continued);Interest Rate Options (continued);Interest Rate Swaptions and Forward Swaps;Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Interest Rate Swaptions and Forward Swaps (continued);Summary;(Return to text slide);(Return to text slide);(Return to text slide);(Return to text slide);(Return to text slide);(Return to text slid