Ch05_Swaps(互换)(金融工程学,华东师大)

Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.1Swaps(互换)Chapter5Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.2NatureofSwaps•Aswapisanagreementtoexchangecashflows(现金流)atspecifiedfuturetimesaccordingtocertainspecifiedrulesOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.3Terminology•LIBORtheLondonInterBankOfferRateItistherateofinterestofferedbybanksondepositsfromotherbanksinEurocurrencymarketsOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.4AnExampleofa“PlainVanilla”InterestRateSwap(大众型利率互换)•Anagreementby“CompanyB”toRECEIVE6-monthLIBORandPAYafixedrateof5%paevery6monthsfor3yearsonanotionalprincipalof$100million•Nextslideillustratescashflows,wherePOSITIVEflowsarerevenues(inflows)andNEGATIVEflowsareexpenses(outflows)Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.5---------MillionsofDollars---------LIBORFLOATINGFIXEDNetDateRateCashFlowCashFlowCashFlowMar.1,19994.2%Sept.1,19994.8%+2.10–2.50–0.40Mar.1,20005.3%+2.40–2.50–0.10Sept.1,20005.5%+2.65–2.50+0.15Mar.1,20015.6%+2.75–2.50+0.25Sept.1,20015.9%+2.80–2.50+0.30Mar.1,20026.4%+2.95–2.50+0.45CashFlowstoCompanyB(SeeTable5.1,page123)Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.6MoreonTable5.1•Thefloating-ratepaymentsarecalculatedusingthesix-monthLIBORrateprevailingsixmonthbeforethepaymentdate•Theprincipleisonlyusedforthecalculationofinterestpayments.However,theprincipleitselfisnotexchanged—Meaningfor“Notionalprinciple”•Theswapcanberegardedastheexchangeofafixed-ratebondforafloat-ratebond.CompanyB(A)islong(short)afloating-ratebondandshort(long)afixed-ratebond.Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.7TypicalUsesofanInterestRateSwap•Convertingaliabilityfroma–FIXEDrateliabilitytoaFLOATINGrateliability–FLOATINGrateliabilitytoaFIXEDrateliability•Convertinganinvestmentfroma–FIXEDrateinvestmenttoaFLOATINGrateinvestment–FLOATINGrateinvestmenttoaFIXEDrateinvestmentOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.8TransformingaFloating-rateLoantoaFixed-rate•Considera3-yearswapinitializedonMarch1,2000whereCompanyBagreestopayCompanyA5%paon$100millionCompanyAagreestopayCompanyB6-mthLIBORon$100million•SupposeCompanyBhasarrangedtoborrow$100millionLIBOR+80bpCompanyBCompanyA5%LIBORLIBOR+0.8%5.2%Note:1basispoint(bp)=one-hundredthof1%Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.9TransformingaFloating-rateLoantoaFixed-rate(continued)•AfterCompanyBhasenteredintotheswap,theyhave3setsofcashflows1.PaysLIBORplus0.8%tooutsidelenders2.ReceivesLIBORfromCompanyAintheswap3.Pays5%toCompanyAintheSwap•Inessence,BhastransformeditsvariablerateborrowingatLIBOR+80bptoafixedrateof5.8%Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.10AandBTransformaLiability(Figure5.2,page125)ABLIBOR5%LIBOR+0.8%5.2%Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.11FinancialInstitutionisInvolved(Figure5.4,page126)AF.I.BLIBORLIBORLIBOR+0.8%4.985%5.015%5.2%“Plainvanilla”fixed-for-floatswapsonUSinterestratesareusuallystructuredsothatthefinancialinstitutionsearns3to4basispointsonapairofoffsettingtransactionsOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.12AandBTransformanAsset(Figure5.3,page125)ABLIBOR5%LIBOR-0.25%4.7%Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.13FinancialInstitutionisInvolved(SeeFigure5.5,page126)AF.I.BLIBORLIBOR4.7%5.015%4.985%LIBOR-0.25%Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.14TheComparativeAdvantageArgument(Table5.4,page129)•CompanyAwantstoborrowfloating•CompanyBwantstoborrowfixedFixedFloatingCompanyA10.00%6-monthLIBOR+0.30%CompanyB11.20%6-monthLIBOR+1.00%Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.15TheComparativeAdvantage(continued)•Onepossibleswapis•CompanyAhas3setsofcashflows1.Pays10%patooutsidelenders2.Receives9.95%pafromBPaysLIBOR+0.05%3.PaysLIBORtoBa25bpgain•CompanyBhas3setsofcashflows1.PaysLIBOR+1.00%patooutsidelenders2.ReceivesLIBORfromAPays10.95%pa3.Pays9.95%toAa25bpgainCompanyBCompanyA9.95%LIBOR10%LIBOR+1%Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.16TheSwap(Figure5.6,page130)ABLIBORLIBOR+1%9.95%10%Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,ShanghaiNormalUniversity5.17TheSwapwhenaFinancialInstitutionisInvolved(Figure5.7,page130)AF.I.B10%LIBORLIBORLIBOR+1%9.93%9.97%Options,Futures,andOtherDerivatives,4thedition©200