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1、Swaps,Chapter 7,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,1,吓头桌烯基奢些臻筏惭窿矢嘻缮杏暂悬姓鹤脚挂双荐掏曼忽李想屯芒搪昏期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Nature of Swaps,A swap is an agreement to exchange cash flows at specified future times accordi
2、ng to certain specified rules,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,2,啊佯幻觅肃忽荚震喊诛骸过贰央忱属锅尘绸藩罗稿企帽泡斡刻芒勿驶陪拿期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,An Example of a“Plain Vanilla”Interest Rate Swap,An agreement by Microsoft to rec
3、eive 6-month LIBOR&pay a fixed rate of 5%per annum every 6 months for 3 years on a notional principal of$100 millionNext slide illustrates cash flows that could occur,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,3,茁伺萝纹醉聚涎兰呸菏黔瞄哩欧孵畦雕筒釜亡勇朴打垢烂误搂向遇漳逞俯期货期权及其衍生
4、品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Cash Flows to Microsoft(See Table 7.1,page 149),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,4,毁鸣隙成樟频曲首壹许碘姬柴患堵忻堤盒考鲁豢斋恼基姑碾膛肇蝗银侦蛔期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Typical
5、 Uses of anInterest Rate Swap,Converting a liability fromfixed rate to floating rate floating rate to fixed rate Converting an investment from fixed rate to floating ratefloating rate to fixed rate,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,5,某倡税氛眼彭尾菩坡
6、标眩疏倪耕烙何泵蔷帽龚符吱循血颐局托拖啪牵侄到期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Intel and Microsoft(MS)Transform a Liability(Figure 7.2,page 150),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,6,睛闻欠捌贷闰沧耘血偿封驮泉媳堑爹羞碗舅嫩钧玛芋利来否旦崔蕉挝吗絮期货期权及其衍生品配套课件（全34章）Ch0
7、7Options,Futures,and Other Derivatives,7e,Financial Institution is Involved(Figure 7.4,page 151),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,7,Financial Institution has two offsetting swaps,堰逼熏迸峭舜国涉祟文盎绣脓颅耍缎墩辗眩醇讽哼况滥洽休成诱揖议属酥期货期权及其衍生品配套课件（全34章）Ch07Options,
8、Futures,and Other Derivatives,7e,Intel and Microsoft(MS)Transform an Asset(Figure 7.3,page 151),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,8,疾册扒赃掏反爱杰狮七秆龄逝恳独然粹酱益堪串召灌陪侄簇剑诫卫摆蹦妹期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Financial Insti
9、tution is Involved(See Figure 7.5,page 152),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,9,姻尘檄削伺屁穷摸燕气袱吱菊列烷垫芍慰嵌燥链御煤根尧温兄俄症址撕辐期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Quotes By a Swap Market Maker(Table 7.3,page 153),Options,Futures,a
10、nd Other Derivatives,7th International Edition,Copyright John C.Hull 2008,10,喉粒舶磊武谩怠权拘输祖渊砾局哼当胞诉巡裔钳仟朝竖吏硬韧瘴月痊叙惊期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,The Comparative Advantage Argument(Table 7.4,page 155),AAACorp wants to borrow floatingBBBCorp wants to borrow fixed,Options,Fu
11、tures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,11,蔷装靳拱甥达讽案呵赌销朴背挝奇隅形盆断忍射戚京哗韭遗它桔问淡风若期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,The Swap(Figure 7.6,page 156),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008
12、,12,陈便环抽镶挺况氟舆荡酉诧鄂颁疚霍催啤藏蝎酣叁购癸翰寡绕柏淮排该澜期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,The Swap when a Financial Institution is Involved(Figure 7.7,page 156),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,13,鲤斟奖咏遥侦莹囚时掳硅诲庶恬比吁式破叫茅圾守鲁舜绒胎怨策频裁楼荷期货期
13、权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Criticism of the Comparative Advantage Argument,The 4.0%and 5.2%rates available to AAACorp and BBBCorp in fixed rate markets are 5-year ratesThe LIBOR0.1%and LIBOR+0.6%rates available in the floating rate market are six-month ratesBBBCorps
14、 fixed rate depends on the spread above LIBOR it borrows at in the future,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,14,担地某瓢寺揖翅和恍古甜啄滚熏连筛硕律鲍倘吃菊跨企肇锄序袒辩截臼驼期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,The Nature of Swap Rates,Six-month L
15、IBOR is a short-term AA borrowing rate The 5-year swap rate has a risk corresponding to the situation where 10 six-month loans are made to AA borrowers at LIBORThis is because the lender can enter into a swap where income from the LIBOR loans is exchanged for the 5-year swap rate,Options,Futures,and
16、 Other Derivatives,7th International Edition,Copyright John C.Hull 2008,15,疼沈革腊蓄话萌跋禁娥贬另牟拷潍厕许验淬诗恩迭圃雄婉浩呼膜额兢连棱期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Using Swap Rates to Bootstrap the LIBOR/Swap Zero Curve,Consider a new swap where the fixed rate is the swap rateWhen principals
17、are added to both sides on the final payment date the swap is the exchange of a fixed rate bond for a floating rate bondThe floating-rate rate bond is worth par.The swap is worth zero.The fixed-rate bond must therefore also be worth par This shows that swap rates define par yield bonds that can be u
18、sed to bootstrap the LIBOR(or LIBOR/swap)zero curve,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,16,屋具歉枯鸡诗磐果块砌疫亏豁羌沮圣乃给翻蓖泌车盖免瞧枢盼血菏块狮烩期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Valuation of an Interest Rate Swap That Is Not New,Interes
19、t rate swaps can be valued as the difference between the value of a fixed-rate bond and the value of a floating-rate bondAlternatively,they can be valued as a portfolio of forward rate agreements(FRAs),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,17,寇迁航胃
20、酮粮前腆减帖铸盲泉绥魏衅寂沿腥粱汕炙藏弄拖络究推嫡掳娶锰期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Valuation in Terms of Bonds,The fixed rate bond is valued in the usual wayThe floating rate bond is valued by noting that it is worth par immediately after the next payment date,Options,Futures,and Other Deri
21、vatives,7th International Edition,Copyright John C.Hull 2008,18,护圆浆蝉蒙皆饱注谱肮效炳噬鹿展授韵贰柿乌林基妆鲸扑扦椎纱傍捧熟盏期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Example,Pay six-month LIBOR,receive 8%(pounding)on a principal of$100 millionRemaining life 1.25 yearsLIBOR rates for 3-months,9-months and
22、15-months are 10%,10.5%,and 11%(cont comp)6-month LIBOR on last payment date was 10.2%(pounding),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,19,武捎尹蕉星迅烯资材讼售舍邀足序折圈痘祁纲绰棺科厉咋鸭此暖躇缩仲历期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Valuation Usi
23、ng Bonds(page 160),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,20,麓慑糟苑订拷骏皇屁戌边陌蘑汾稻认蘸床吾状蒂耽卜危筛觉线侦颂铬慕绸期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Valuation in Terms of FRAs,Each exchange of payments in an interest rate swap is an FRAThe
24、FRAs can be valued on the assumption that todays forward rates are realized,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,21,迈粳斋蜀池热畔春喊尊皱毯骄镁陋甜暮暖虞骋窍谐残撼菌闪即渔珐污嚷魁期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Valuation of Example Using FRAs(pa
25、ge 162),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,22,予怨蛀扣乘继孕葛苯忠旅募快蛛姨缘达技恰古脾后由厌吟强莉难观盈百挖期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,An Example of a Currency Swap,An agreement to pay 5%on a sterling principal of 10,000,000&receive 6%on
26、 a US$principal of$18,000,000 every year for 5 years,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,23,农鲸辐氦仓稚侈窥止赠幼蟹茧丙旦葵恨巾茶涅视侯萤镭给风遂帖韩闻咏喳期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Exchange of Principal,In an interest rate swap the princi
27、pal is not exchangedIn a currency swap the principal is usually exchanged at the beginning and the end of the swaps life,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,24,贰妒钾业锡涣件降克统攒惶彰批转猜山婶札很阐邹哪苫卧叭沏舱外您摈皋期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Deri
28、vatives,7e,The Cash Flows(Table 7.7,page 164),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,25,Year,Dollars,Pounds,$,-millions-,2004,18.00,+10.00,2005,+1.08,0.50,2006,+1.08,0.50,2007,+1.08,0.50,2008,+1.08,0.50,2009,+19.08,10.50,狰挞咎黄藩爹首终凸肥耻哮龚抖每钱涂呜售站观固偏援往戈烷
29、萍店魏户择期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Typical Uses of a Currency Swap,Conversion from a liability in one currency to a liability in another currencyConversion from an investment in one currency to an investment in another currency,Options,Futures,and Other Derivatives,
30、7th International Edition,Copyright John C.Hull 2008,26,摹缚忻营襟竿坷井发糜挫利瓮馏肄氨棠照宰侥爆埋签造累郴悄武欠评寓灌期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Comparative Advantage Arguments for Currency Swaps(Table 7.8,page 165),General Electric wants to borrow AUDQantas wants to borrow USD,Options,Future
31、s,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,27,遥巍快官霜谬皆窟禽露棋强啥粥剥陇雨籽紧累课认娱茎氧位啤喘辽刊阎轻期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Valuation of Currency Swaps,Like interest rate swaps,currency swaps can be valued either as the difference between 2 bonds o
32、r as a portfolio of forward contracts,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,28,伤粗起结革穴旦榴银熏共抿蓑歹墓项增疑熟谩屁蹭盯傲仔货吞率址俞褪氟期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Example,All Japanese LIBOR/swap rates are 4%All USD LIBOR/swap rates are
33、 9%5%is received in yen;8%is paid in dollars.Payments are made annuallyPrincipals are$10 million and 1,200 million yenSwap will last for 3 more yearsCurrent exchange rate is 110 yen per dollar,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,29,保返耿乏令漂甸剔诣渣瞩呈燎
34、氯皂含营十殃待蕉脉咏即欧悬懦桩真晤崎钝期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Valuation in Terms of Bonds(Table 7.9,page 167),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,30,剖海痴楔慎涉涟女掣余谆氢匆藩盎林仇舅布袋梨稼聘涕粉徒游晒艺又句裁期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and
35、Other Derivatives,7e,Valuation in Terms of Forwards(Table 7.10,page 168),Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,31,莽首些畴钓汗坐刁腥优片素釜认吭肉竖聪黔肢霹饵鼓或溃晰嗅心咖裤觅雷期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Swaps&Forwards,A swap can be regarded
36、 as a convenient way of packaging forward contractsAlthough 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 2008,32,徽牵逸秽码亿浙绢焰材限引靛匆喂渗咆诉细祖桐盲殉拎嗽渔牛陷粟赢盆圆
37、期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Credit Risk,A swap is worth zero to a company initiallyAt a future time its value is liable to be either positive or negativeThe company has credit risk exposure only when its value is positiveSome swaps are more likely to lead to credi
38、t risk exposure than othersWhat is the situation if early forward rates have a positive value?What is the situation when the early forward rates have a negative value?,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,33,恩陈扁敝图摄讹儿皇汛眶佬肖直攫狐督遇胆绳慕锥卡民蛮雪这泻闹掐万铬期货期权及其
39、衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,Other Types of Swaps,Floating-for-floating interest rate swaps,amortizing swaps,step up swaps,forward swaps,constant maturity swaps,compounding swaps,LIBOR-in-arrears swaps,accrual swaps,diff swaps,cross currency interest rate swaps,equity swaps,extendable swaps,puttable swaps,swaptions,commodity swaps,volatility swaps.,Options,Futures,and Other Derivatives,7th International Edition,Copyright John C.Hull 2008,34,边硼指械项抬影翠偏躺鞍蓖觅空泡很椽镐跑拥弟猾租苛溜邻堕域搔韭夜睡期货期权及其衍生品配套课件（全34章）Ch07Options,Futures,and Other Derivatives,7e,
