衍生工具与风险管理全套配套课件DonM.Chance ch11.ppt

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1、Chapter11:InterestRateForwardsandOptionsIfadealwasmathematicallycomplexin1993and1994,thatwasconsideredinnovation.Butthisyear,whattookyouforwardwithclientswasn’tthemath–itwasbringingthemthemostefficientapplicationofaproduct.MarkWellsRisk,January,1996,p.R15D.M.ChanceCh.13:1An

2、IntroductiontoDerivativesandRiskManagement,6thed.ImportantConceptsinChapter13ThenotionofaderivativeonaninterestratePricing,valuation,anduseofforwardrateagreements(FRAs),interestrateoptions,swaptions,andforwardswapsD.M.Chance2AnIntroductiontoDerivativesandRiskManagement,6the

3、d.Aderivativeonaninterestrate:Thepayoffofaderivativeonabondisbasedonthepriceofthebondrelativetoafixedprice.Thepayoffofaderivativeonaninterestrateisbasedontheinterestraterelativetoafixedinterestrate.Insomecasesthesecanbeshowntobethesame,particularlyinthecaseofadiscountinstru

4、ment.Inmostothercases,however,aderivativeonaninterestrateisadifferentinstrumentthanadifferentonabond.SeeFigure13.1,p.467fornotionalprincipalofFRAsandinterestrateoptionsovertime.D.M.Chance3AnIntroductiontoDerivativesandRiskManagement,6thed.ForwardRateAgreementsDefinitionAfor

5、wardcontractinwhichtheunderlyingisaninterestrateAnFRAcanworkbetterthanaforwardorfuturesonabond,becauseitspayoffistieddirectlytothesourceofrisk,theinterestrate.D.M.Chance4AnIntroductiontoDerivativesandRiskManagement,6thed.ForwardRateAgreements(continued)TheStructureandUseofa

6、TypicalFRAUnderlyingisusuallyLIBORPayoffismadeatexpiration(contrastwithswaps)anddiscounted.ForFRAonm-dayLIBOR,thepayoffisExample:LonganFRAon90-dayLIBORexpiringin30days.Notionalprincipalof$20million.Agreeduponrateis10percent.PayoffwillbeD.M.Chance5AnIntroductiontoDerivatives

7、andRiskManagement,6thed.ForwardRateAgreements(continued)Somepossiblepayoffs.IfLIBORatexpirationis8percent,Sothelonghastopay$98,039.IfLIBORatexpirationis12percent,thepayoffisNotetheterminologyofFRAs:ABmeansFRAexpiresinAmonthsandunderlyingmaturesinBmonths.D.M.Chance6AnIntrod

8、uctiontoDerivativesandRiskManagement,6thed.ForwardRateAgreements(continued)ThePric