IRS
2021-05-17 11:10:12 0 举报AI智能生成
IRS
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definition
interest rate swap
an exchange of one set of interest flows
for another, with no exchange of principal
for another, with no exchange of principal
exchange of one set of cashflows for another stream
legs=streams
basic
interest rate swap
interest rate swap
quoted as
a fixed interest rate on one side
and LIBOR exactly on the other
a fixed interest rate on one side
and LIBOR exactly on the other
may not have the same frequency
no exchange of principal.
in practice,netted
in practice,netted
the settlement amount
paid at the end of the relevant period
paid at the end of the relevant period
FRA:at the beginning
on a discounted basis
on a discounted basis
hedging
短期hedge
因为市面上有相应的FRA产品
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
cost of a single three-month borrowing due
net cost = (fixed FRA rate + lending margin)
长期hedge
Ex 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
Ex 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
advantage
swap存在的原因
swap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
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 advantage
and then swap.各方找到自己的特长然后交换
each company to borrow where it has a relative advantage
and 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.
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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