2012 Team 官方主题---Derivatives & Bloomberg https://bbs.pinggu.org/thread-1313760-1-1.html

Team-Derivatives-1----https://bbs.pinggu.org/thread-1318848-1-1.html


由于各种原因耽搁了Team-Derivatives的进程，抱歉。希望在将Swap这一衍生品中的重要分支在一个月内完成，希望大家一起加油！

大家可以贡献自己的学习成果，或者提出疑问贡大家探讨，或提供相关案例（案例的列举请大家在接下来各个的细分主题中跟帖，如到时候我们学习到CDS时，跟帖CDS与次贷危机的关系将活动论坛币奖励，非相关主题案例将得不到奖励）。

任何有较大价值的回帖都会给予奖励。每个主题帖将选出优秀回帖，最高奖励100论坛币。（如能与坛友之间就相关主题问题进行互动，探讨，提问，答疑等都会得到相应的指数加分）

最后还是Follow Us版永远想告诉你的那句话：我们所做的一切只是想唤醒你内心那颗充满斗志的心！

了解Follow Us版---https://bbs.pinggu.org/thread-1130480-1-1.html


Swap

In finance, a swap is a derivative in which counterparties exchange cash flows of one party's financial instrument for those of the other party's financial instrument. The benefits in question depend on the type of financial instruments involved. For example, in the case of a swap involving two bonds, the benefits in question can be the periodic interest (or coupon) payments associated with the bonds. Specifically, the two counterparties agree to exchange one stream of cash flows against another stream. These streams are called the legs of the swap. The swap agreement defines the dates when the cash flows are to be paid and the way they are calculated.[1] Usually at the time when the contract is initiated at least one of these series of cash flows is determined by a random or uncertain variable such as an interest rate, foreign exchange rate, equity price or commodity price.[1]
The cash flows are calculated over a notional principal amount, which is usually not exchanged between counterparties. Consequently, swaps can be in cash or collateral.
Swaps can be used to hedge certain risks such as interest rate risk, or to speculate on changes in the expected direction of underlying prices.
Swaps were first introduced to the public in 1981 when IBM and the World Bank entered into a swap agreement.[2] Today, swaps are among the most heavily traded financial contracts in the world: the total amount of interest rates and currency swaps outstanding is more thаn $426.7 trillion in 2009, according to International Swaps and Derivatives Association (ISDA).

Swap market

Most swaps are traded over-the-counter (OTC), "tailor-made" for the counterparties. Some types of swaps are also exchanged on futures markets such as the Chicago Mercantile Exchange Holdings Inc., the largest U.S. futures market, the Chicago Board Options Exchange, IntercontinentalExchange and Frankfurt-based Eurex AG.
The Bank for International Settlements (BIS) publishes statistics on the notional amounts outstanding in the OTC derivatives market. At the end of 2006, this was USD 415.2 trillion, more than 8.5 times the 2006 gross world product. However, since the cash flow generated by a swap is equal to an interest rate times that notional amount, the cash flow generated from swaps is a substantial fraction of but much less than the gross world product—which is also a cash-flow measure. The majority of this (USD 292.0 trillion) was due to interest rate swaps. These split by currency as:

	Notional outstanding in USD trillion
Currency	End 2000	End 2001	End 2002	End 2003	End 2004	End 2005	End 2006
Euro	16.6	20.9	31.5	44.7	59.3	81.4	112.1
US dollar	13.0	18.9	23.7	33.4	44.8	74.4	97.6
Japanese yen	11.1	10.1	12.8	17.4	21.5	25.6	38.0
Pound sterling	4.0	5.0	6.2	7.9	11.6	15.1	22.3
Swiss franc	1.1	1.2	1.5	2.0	2.7	3.3	3.5
Total	48.8	58.9	79.2	111.2	147.4	212.0	292.0

  
The CDS and currency swap markets are dwarfed by the interest rate swap market. All three markets peaked in mid 2008.
Source: BIS Semiannual OTC derivatives statistics at end-December 2008



Valuation

The value of a swap is the net present value (NPV) of all estimated future cash flows. A swap is worth zero when it is first initiated, however after this time its value may become positive or negative.[1] There are two ways to value swaps: in terms of bond prices, or as a portfolio of forward contracts.[1]
Using bond pricesWhile principal payments are not exchanged in an interest rate swap, assuming that these are received and paid at the end of the swap does not change its value. Thus, from the point of view of the floating-rate payer, a swap is equivalent to a long position in a fixed-rate bond (i.e. receiving fixed interest payments), and a short position in a floating rate note (i.e. making floating interest payments):
From the point of view of the fixed-rate payer, the swap can be viewed as having the opposite positions. That is,
Similarly, currency swaps can be regarded as having positions in bonds whose cash flows correspond to those in the swap. Thus, the home currency value is:
, where is the domestic cash flows of the swap, is the foreign cash flows of the LIBOR is the rate of interest offered by banks on deposit from other banks in the eurocurrency market. One-month LIBOR is the rate offered for 1-month deposits, 3-month LIBOR for three months deposits, etc. LIBOR rates are determined by trading between banks and change continuously as economic conditions change. Just like the prime rate of interest quoted in the domestic market, LIBOR is a reference rate of interest in the international market.


Arbitrage arguments

As mentioned, to be arbitrage free, the terms of a swap contract are such that, initially, the NPV of these future cash flows is equal to zero. Where this is not the case, arbitrage would be possible.
For example, consider a plain vanilla fixed-to-floating interest rate swap where Party A pays a fixed rate, and Party B pays a floating rate. In such an agreement the fixed rate would be such that the present value of future fixed rate payments by Party A are equal to the present value of the expected future floating rate payments (i.e. the NPV is zero). Where this is not the case, an Arbitrageur, C, could:

• assume the position with the lower present value of payments, and borrow funds equal to this present value
• meet the cash flow obligations on the position by using the borrowed funds, and receive the corresponding payments - which have a higher present value
• use the received payments to repay the debt on the borrowed funds
• pocket the difference - where the difference between the present value of the loan and the present value of the inflows is the arbitrage profit. This section requires additional example
  

Subsequently, once traded, the price of the Swap must equate to the price of the various corresponding instruments as mentioned above. Where this is not true, an arbitrageur could similarly short sell the overpriced instrument, and use the proceeds to purchase the correctly priced instrument, pocket the difference, and then use payments generated to service the instrument which he is short.