第6讲 互换合约.pdfVIP

CFA Level Ⅱ: Derivatives 主讲人：Evelyn 高 互换合约 Swap contracts Pricing and Valuation of Forward Commitments • Forward contracts • T-bond Futures • Swap contracts ü Plain vanilla swap ü Currency swap ü Equity swap Plain vanilla swap • A plain vanilla swap is an interest rate swap in which one party pays a fixed rate and the other pays a floating rate. ü Pricing a plain vanilla swap means calculating the fixed rate (swap rate) that makes the contract value zero at initiation. ü A floating-rate bond has a value equal to its par valu