期货期权及其衍生品配套课件全34章Ch07.ppt

* * * Valuation of Currency Swaps Like interest rate swaps, currency swaps can be valued either as the difference between 2 bonds or as a portfolio of forward contracts Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Example All Japanese LIBOR/swap rates are 4% All USD LIBOR/swap rates are 9% 5% is received in yen; 8% is paid in dollars. Payments are made annually Principals are $10 million and 1,200 million yen Swap will last for 3 more years Current exchange rate is 110 yen per dollar Options, Futures, and Other Derivatives, 7th Internati