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1、Chapter7 SwapsOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20121NatureofSwapsAswapisanagreementtoexchangecashflowsatspecifiedfuturetimesaccordingtocertainspecifiedrulesOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20122AnExampleofa“Pl
2、ainVanilla”InterestRateSwapAnagreementbyMicrosofttoreceive6-monthLIBOR&payafixedrateof5%perannumevery6monthsfor3yearsonanotionalprincipalof$100millionNextslideillustratescashflowsthatcouldoccur(Daycountconventionsarenotconsidered)Options,Futures,andOtherDerivatives,8thEdition,
3、Copyright©JohnC.Hull20123OnePossibleOutcomeforCashFlowstoMicrosoft(Table7.1,page150)DateLIBORFloatingCashFlowFixedCashFlowNetCashFlowMar5,20124.20%Sep5,20124.80%+2.10−2.50−0.40Mar5,20135.30%+2.40−2.50−0.10Sep5,20135.50%+2.65−2.50+0.15Mar5,20145.60%+2.75−2.50+0.25Sep5,20145.90%
4、+2.80−2.50+0.30Mar5,2015+2.95−2.50+0.45Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20124TypicalUsesofanInterestRateSwapConvertingaliabilityfromfixedratetofloatingratefloatingratetofixedrateConvertinganinvestmentfromfixedratetofloatingratefloatingratetofi
5、xedrateOptions,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20125IntelandMicrosoft(MS)TransformaLiability(Figure7.2,page151)Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20126IntelMSLIBOR5%LIBOR+0.1%5.2%FinancialInstitutionisInvolved(Figure7.
6、4,page152)Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20127F.I.LIBORLIBORLIBOR+0.1%4.985%5.015%5.2%IntelMSFinancialInstitutionhastwooffsettingswapsIntelandMicrosoft(MS)TransformanAsset(Figure7.3,page152)Options,Futures,andOtherDerivatives,8thEdition,Copy
7、right©JohnC.Hull20128IntelMSLIBOR5%LIBOR-0.2%4.7%FinancialInstitutionisInvolved(SeeFigure7.5,page153)Options,Futures,andOtherDerivatives,8thEdition,Copyright©JohnC.Hull20129IntelF.I.MSLIBORLIBOR4.7%5.015%4.985%LIBOR-0.2%QuotesByaSwapMarketMaker(Table7.3,page154)MaturityBid(%)O
8、ffer(%)SwapRate(%)2years6.036.066.0453years6.216.246.2254year
