IRS
2021-05-17 11:10:12 0 举报AI智能生成
IRS
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IRS
definition
interest rate swap
exchange of one set of cashflows for another stream
legs=streams
basicinterest rate swap
quoted as a fixed interest rate on one side and LIBOR exactly on the other
may not have the same frequency
the settlement amount paid at the end of the relevant period
FRA:at the beginningon a discounted basis
hedging
短期hedge因为市面上有相应的FRA产品
uses an FRA to hedge:cost of a single three-month borrowing due
net cost = (fixed FRA rate + lending margin)
长期hedgeEx 一个5年的borrowing每3个月要支付利息没有相应的FRA只能用swap
use an interest rate swap
net cost = (fixed swap rate + lending margin)
win-win
advantageswap存在的原因
cost discrepancies between different funding methods不同的company有不同的prefer和access达到共赢
It is therefore more cost-efficient:each company to borrow where it has a relative advantageand then swap.各方找到自己的特长然后交换
types of swap
coupon swap
payment of a fixed interest rate in one direction and a floating interest rate in the other direction.
basis swap
a floatingfloating swap
index swap
flows in one or other direction are based on an index
valuation of swap
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