《期权,期货及其衍生品第七弹》-课件设计（公开）.pptVIP

* * * * * * * * * * Overnight Indexed Swaps continued ...but it bears the credit risk of another bank in this arrangement The OIS rate is now regarded as a better proxy for the short-term risk-free rate than LIBOR The excess of LIBOR over the OIS rate is the LIBOR-OIS spread. It is usually about 10 basis points but spiked at an all time high of 364 basis points in October 2008 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * An Example of a Currency Swap An agreement to pay 5% on a sterling principal of ￡10,000,000 receive 6% on a US$ principal of $18,000,000 every year for 5 years Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Exchange of Principal In an interest rate swap the principal is not exchanged In a currency swap the principal is usually exchanged at the beginning and the end of the swap’s life Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * The Cash Flows (Table 7.7, page 166) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Date Dollar Cash Flows (millions) Sterling cash flow (millions) Feb 1, 2011 -18.0 +10.0 Feb 1, 2012 +1.08 ?0.50 Feb 1, 2012 +1.08 ?0.50 Feb 1, 2014 +1.08 ?0.50 Feb 1, 2015 +1.08 ?0.50 Feb 1, 2016 +19.08 ?10.50 Typical Uses of a Currency Swap Convert a liability in one currency to a liability in another currency Convert an investment in one currency to an investment in another currency Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Comparative Advantage May Be Real Because of Taxes General Electric wants to borrow AUD Quantas wants to borrow USD Cost after adjusting for the differential impact of taxes Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * USD AUD General Electric 5.0% 7.6% Quantas 7.0% 8.0% Valuation of Currency Swaps Like interest rate swaps, currency swaps can be valued either as the diffe