1、Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,1,Swaps,Chapter 7,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,2,Nature of Swaps,A s an agreement to exchange cash flows at specified future times accord

2、ing to certain specified rules,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,3,An Example of a “Plain Vanilla” Interest Rate Swap,An agreement by Microsoft to receive 6-month LIBOR 8% is paid in dollars. Payments are made annually Principals are $10

3、million and 1,200 million yen S last for 3 more years Current exchange rate is 110 yen per dollar,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,30,Valuation in Terms of Bonds (Table 7.9, page 167),Options, Futures, and Other Derivatives, 7th Internat

4、ional Edition, Copyright John C. Hull 2008,31,Valuation in Terms of Forwards (Table 7.10, page 168),Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,32,Swaps & Forwards,A s be regarded as a convenient way of packaging forward contracts Although the s is

5、 usually worth zero at the outset, each of the underlying forward contracts are not worth zero,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,33,Credit Risk,A s worth zero to a company initially At a future time its value is liable to be either positi

6、ve or negative The company has credit risk exposure only when its value is positive Some swaps are more likely to lead to credit risk exposure than others What is the situation if early forward rates have a positive value? What is the situation when the early forward rates have a negative value?,Opt

7、ions, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,34,Other Types of Swaps,Floating-for-floating interest rate swaps, amortizing swaps, step up swaps, forward swaps, constant maturity swaps, compounding swaps, LIBOR-in-arrears swaps, accrual swaps, diff swaps, cross curre