期货期权及其衍生品配套课件（全34章Ch07.pptVIP

* * * 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 $10 million and 1,200 million yen Swap will last for 3 more years Current exchange rate is 110 yen per dollar Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Valuation in Terms of Bonds (Table 7.9, page 167) Time Cash Flows ($) PV ($) Cash flows (yen) PV (yen) 1 0.8 0.7311 60 57.65 2 0.8 0.6682 60 55.39 3 0.8 0.6107 60 53.22 3 10.0 7.6338 1,200 1,064.30 Total 9.6439 1,230.55 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Valuation in Terms of Forwards (Table 7.10, page 168) Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Time $ cash flow Yen cash flow Forward Exch rate Yen cash flow in $ Net Cash Flow Present value 1 -0.8 60 0.009557 0.5734 -0.2266 -0.2071 2 -0.8 60 0.010047 0.6028 -0.1972 -0.1647 3 -0.8 60 0.010562 0.6337 -0.1663 -0.1269 3 -10.0 1200 0.010562 12.6746 +2.6746 2.0417 Total 1.5430 Swaps Forwards A swap can be regarded as a convenient way of packaging forward contracts Although the swap contract is usually worth zero at the outset, each of the underlying forward contracts are not worth zero Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Credit Risk A swap is worth zero to a company initially At a future time its value is liable to be either positive or negative The company has credit risk exposure only when its value is positive Some swaps are more likely to lead to credit risk exposure than others What is the situa