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<br>for another, with no exchange of principal
exchange of one set of cashflows for another stream
legs=streams
basic<br>interest rate swap
quoted as<br> a fixed interest rate on one side <br>and LIBOR exactly on the other <br>
may not have the same frequency
no exchange of principal.<br>in practice,netted<br>
the settlement amount <br> paid at the end of the relevant period
FRA:at the beginning<br>on a discounted basis
hedging
短期hedge<br>因为市面上有相应的FRA产品
uses an <b>FRA</b> to hedge:<br>cost of a single three-month borrowing due
net cost = (fixed FRA rate + lending margin)
长期hedge<br>Ex 一个5年的borrowing<br>每3个月要支付利息<br>没有相应的FRA<br>只能用swap
use an <b>interest rate swap</b>
net cost = (fixed swap rate + lending margin)
win-win
advantage<br>swap存在的原因
cost discrepancies <br>between different funding methods<br>不同的company有不同的prefer和access<br>达到共赢
It is therefore more cost-efficient:<br>each company to borrow where it has a relative advantage<br>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<br> 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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