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1、1Chapter6swaps2OutlineofChapter66.1Theconceptofaswap6.2Mechanicsofinterestrateswaps6.3Valuationofinterestrateswap6.4ForeignExchangeSwap6.5Currencyswap36.1TheconceptofaswapAswapisanover-the-counterderivativeinwhichtwopartiesmakeaseriesofpaymentstoeach
2、otheratspecificdates.Aswapisanagreementbetweentwocompaniestoexchangecashflowsinthefuture.Settlementdate4互换市场的起源可以追溯到20世纪70年代末，当时的货币交易商为了逃避英国的外汇管制而开发了货币互换。1981年所罗门兄弟公司促成了IBM与世界银行之间基于固定利率的一项货币互换，这被认为是互换市场发展的里程碑。第一个利率互换于1981年出现在伦敦并于1982年被引入美国。从那以后，互换市场发
3、展迅速，全球利率互换和货币互换名义本金金额从1987年底的8656亿美元猛增到2006年底的2857281.4亿美元，20年增长了330多倍，如下图所示。Ininterestrateswapsthisprincipleamountisneverexchanged.56.2mechanicsofinterestrateswapsPlainvanillaswap:isaswapinwhichonepartypaysafixedrateandtheotherpaysafloatingrate.AB66
4、.2mechanicsofinterestrateswapsLondonInterbankOfferRate－LIBORThefloatingrateinmanyinterestrateswapagreementsistheLIBOR.LIBORisdeterminedbyratesthatbanksparticipatingintheLondonmoneymarketoffereachotherforshort-termdeposits.LIBORisusedindeterminingthep
5、riceofmanyotherfinancialderivatives,includinginterestratefutures,swaps.78AninterestrateswapexampleAnagreementbycompanyBtoreceive6-monthLIBOR&payafixedrateof5%perannumevery6monthsfor3yearsonanotionalprincipalof$100millionNextslideillustratescashflowsA
6、B9---------MillionsofDollars---------LIBORFLOATINGFIXEDNetDateRateCashFlowCashFlowCashFlowMar.5,20044.2%Sept.5,20044.8%+2.10–2.50–0.40Mar.5,20055.3%+2.40–2.50–0.10Sept.5,20055.5%+2.65–2.50+0.15Mar.5,20065.6%+2.75–2.50+0.25Sept.5,20065.9%+2.80–2.50+0.
7、30Mar.5,20076.4%+2.95–2.50+0.45CashflowstocompanyBina$100millionthree-yearinterestrateswapwhenafixedrateof5%ispaidandLIBORisreceived.Notionalprincipal10---------MillionsofDollars---------LIBORFLOATINGFIXEDNetDateRateCashFlowCashFlowCashFlowMar.5,2004
8、4.2%Sept.5,20044.8%+2.10–2.50–0.40Mar.5,20055.3%+2.40–2.50–0.10Sept.5,20055.5%+2.65–2.50+0.15Mar.5,20065.6%+2.75–2.50+0.25Sept.5,20065.9%+2.80–2.50+0.30Mar.5,20076.4%+102.95–102.50+0.45Cashflowswhenthereisafinalexchangeofprincipal11TypicalUsesofanint
