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1、CHAPTERFIFTY-FIVEINTEREST-RATESWAPSANDSWAPTIONSFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversitySTEVENV.MANN,PH.D.ProfessorofFinanceMooreSchoolofBusinessUniversityofSouthCarolinaMOORADCHOUDHRYHeadofTreasuryKB
2、CFinancialProductsSwapsandswaptionsarealsousedextensivelybymarketparticipantstocontrolinterest-raterisk.Themostprevalentswapcontractisaninterest-rateswap.Aninterest-rateswapcontractprovidesavehicleformarketparticipantstotransformthenatureofcashflowsandtheinte
3、rest-rateexposureofaportfolioorbalancesheet.Inthischapterweexplainhowtoanalyzeinterest-rateswaps.Wewilldescribeagenericinterest-rateswap,thepartiestoaswap,theriskandreturnofaswap,andtheeconomicinterpretationofaswap.Thenwelookathowtocomputethefloating-ratepaym
4、entsandcalculatethepresentvalueofthesepayments.Next,wewillseehowtocalculatethefixed-ratepaymentsgiventheswaprate.Beforewelookathowtocalculatethevalueofaswap,wewillseehowtocalculatetheswaprate.Giventheswaprate,wewillthenseehowthevalueofaswapisdeter-minedaftert
5、heinceptionofaswap.Wealsowilldiscussothertypesofswapsaswellasoptionsonswapscalledswaptions.Swaptionsareusedevermorefre-quentlyasatoolforinvestorstocontroltheirinterest-raterisk.Theseinstrumentsaredescribedinthelatterpartofthechapter.DESCRIPTIONOFANINTEREST-R
6、ATESWAPInaninterest-rateswap,twoparties(calledcounterparties)agreetoexchangeperiodicinterestpayments.Thedollaramountoftheinterestpaymentsexchangedisbasedonsomepredetermineddollarprincipal,whichiscalledthenotional1249Copyright©2005,2001,1997,1995,1991,1987,19
7、83byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.1250PART7DerivativesandTheirApplicationsamount.Thedollaramounteachcounterpartypaystotheotheristheagreed-onperiodicinterestratetimesthenotionalamount.Theonlydollarsthatareexchangedbetweenthepartiesarethei
8、nterestpayments,notthenotionalamount.Accordingly,thenotionalprincipalservesonlyasascalefactortotranslateaninterestrateintoacashflow.Inthemostcommontypeofswap,onepartyagreestopaytheotherpartyfixedi
