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1、Chapter10:SwapsIoncehadtoexplaintomyfatherthatthebankdidn’treallymakeitsmoneytakingdepositsandlendingoutmoneytopoorfolksotheycouldbuyhouses.Iexplainedthatthebankactuallytradedforaliving.StanJonasDerivativesStrategy,April,1998,p.19D.M.ChanceCh.12:1AnIntroductiontoDerivativesandRisk
2、Management,6thed.ImportantConceptsinChapter12TheconceptofaswapDifferenttypesofswaps,basedonunderlyingcurrency,interestrate,orequityPricingandvaluationofswapsStrategiesusingswapsD.M.Chance2AnIntroductiontoDerivativesandRiskManagement,6thed.DefinitionofaswapFourtypesofswapsCurrencyI
3、nterestrateEquityCommodity(notcoveredinthisbook)CharacteristicsofswapsNocashupfrontNotionalprincipalSettlementdate,settlementperiodCreditriskDealermarketSeeFigure12.1,p.426forgrowthinworld-widenotionalprincipalD.M.Chance3AnIntroductiontoDerivativesandRiskManagement,6thed.InterestR
4、ateSwapsTheStructureofaTypicalInterestRateSwapExample:OnDecember15XYZentersinto$50millionNPswapwithABSwaps.Paymentswillbeon15thofMarch,June,September,Decemberforoneyear,basedonLIBOR.XYZwillpay7.5%fixedandABSwapswillpayLIBOR.Interestbasedonexactdaycountand360days(30permonth).Ingene
5、ralthecashflowtothefixedpayerwillbeD.M.Chance4AnIntroductiontoDerivativesandRiskManagement,6thed.InterestRateSwaps(continued)TheStructureofaTypicalInterestRateSwap(continued)ThepaymentsinthisswaparePaymentsarenetted.SeeFigure12.2,p.428forpaymentpatternSeeTable12.1,p.429forsampleof
6、paymentsafter-the-fact.D.M.Chance5AnIntroductiontoDerivativesandRiskManagement,6thed.InterestRateSwaps(continued)ThePricingandValuationofInterestRateSwapsHowisthefixedratedetermined?Adigressiononfloating-ratesecurities.ThepriceofaLIBORzerocouponbondformaturityoftidaysisStartingatt
7、hematuritydateandworkingback,weseethatthepriceisparoneachcoupondate.SeeFigure12.3,p.430.D.M.Chance6AnIntroductiontoDerivativesandRiskManagement,6thed.InterestRateSwaps(continued)ThePricingandValuationofInterestRateSwaps(continued)Byaddingthenotionalprincipalsattheend,wecanseparate
8、thecashflowstreamsofaninterestrat
