5互换

5互换 - p £ swap...

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Unformatted text preview: p £ swap ¤ 5 û ) 7 K ó ä 6 1 Ê ù ? µ U [email protected] Ü H ã ² Æ 7 K Æ 2011 c S G Æ Ï o ´ p £ swap ¤ p ´ V ¤ 3 ò 5 p y 7 6 Ü § Ü 5 ½ y 7 6 p m9 y 7 6 ê þ O { " p ´ OTC Æ 5 ù ¨ y 7 6 | G ´ Å Ï Ü ± w ´ « 5 ü m £ = g ¤ ] £ ½ y 7 6 ¤ p § Ï Ï Ü Ó Ò ´ ± ½ 1 d K ¢ 5 d S T Ø ( ½ I ] " p Ä ¹ 1 ) p ) u 1981 c § A c   § p ½ | c ¢ ´ þ ® ê · { £ § p ¤- û ) 7 K ó ä " p m Ï ± l 2 c 15 c ± þ " ½ | þ üa 6 1 p µ I O | Ç p £ plain vanilla swap ¤ 9 ½ E ½ E £ fixed-for-fixed ¤ À 1 p " p ) p Ö ´ ² 1 ± Ú é ± u Ð Ô " 1 ! ² 1 ± " ´ 3 Ø Ó I [ ü 1 ú i § p é ú i 3 I ¸ S f ú i J ø 7 £ 1 ± § 3 ½ Ï F g 8 ¤ / À 1 " ² 1 ± )ü Õ á ± Æ µ ± Æ µ ` I 1 ú i )) > ¯ I 1 ú i 3 ` I f ú i ¶ ± Æ µ ¯ I 1 ú i )) > ` I 1 ú i 3 ¯ I f ú i " ù ü ± Æ © O ä k { Æ ¨ å § § , Ø U ) Ø Á Â Ö " du | Â Ö v k p é X § º x " y å Å " p ) £ Y ¤ 2 ! é ± " ü I [ 1 ú i m p ± § ± 1 « Ø Ó ¢ 1 § ± Ï F Ó § U Ï g | G | E § Ï g 7 " ~ X µ é ± \ ½ ± Æ § Æ ¥ 5 ½ § e § , k l g C J ø ± ½ | E ¥- § ü $ º x " | Ç pÅ 1 I O | Ç p £ plain vanilla swap ¤µ V ¢ ' u ½ ¶  7 ½ | Ç y 7 6 Ú 2 Ä | Ç £ ' X LIBOR ¤ y 7 6 " ~ f µ b y 3 ´ 2007 c 3 5 Ò § p Ü Ó ½ µ 3 3 c S § é u 1 · £ ¶  7 £ notional principle ¤§ ^ = A | G z c 5 % ! c O E g ½ | E § = A ^ U 6 Ï LIBOR | Ç | G2 Ä | E " ^ ´ ½ | Ç | G ö £ fixed rate payer ¤ = A ´ 2 Ä | Ç | G ö £ floating rate payer ¤ " ã 1 µ ^ ! = A p ~ f « ¿ | Ç pÅ 2 ã 2 µ ^ ! = A p ~ f y 7 6 L L ¥ 6 Ï LIBOR 2 Ä | Ç ´ 3 þ = 6 c ( ½ § 2 Ä | E | G K ´ 3 | Ç ( ½   " Ï d 3 1 g 2 Ä | Ç   | G 2 Ä | E Ñ ´ Å " | Ç pÅ 3 ã 3 µ ^ ! = A p ~ f y 7 6 L \ þ ¶  7 ~ f ¥ 1 · 7 § ± w ë ½ ö Øë p § ¡ ¶  7 " « O 3 u § 3 ë p ¹ e § ^ ½ | Ç | G ö ± w ´ 3 ï \ £ long ¤ 2 Ä | Ç Å Ú ñ Ñ £ short ¤ Ï ~ ½ | Ç Å " | Ç p ^ | Ç p ± ^ 5 = C ] Ú K Å 5 µ ã 4 µ | Ç p = K Å Ú ] 5 ½ û ^ du | Ç p ´ | © £ OTC ¤ û ) ó ä § ê þ ! m ¢ ´ I ¦ é J Î Ü V Ï " § ² ~ I ½ û £ ¥ Õ 1 7 K x ¤ ë § ¯¢ þ p V Ø ' % é ´ X " ã 5 µ | Ç p \ þ ¥ Õ 1 ½ û ½ û Ø ´ ü ±- £ offsetting ¤ p ¢ ´ ö Ó Ñ y â ? 1 ¢ ´ " ¦ Ï ~ © O ü § ,   ^ Ù ¦ ó ä £ X FRA § interest futures § bond ¤ é À À º x Þ º x " ½ û I J ø p | Ç £ swap rates ¤ § d § Ï ~ ïñ d £ bid-offer spread ¤ 3 ∼ 4 Ä : " ã 6 µ p | Ç § d £ Bid § Offer § Swap rate ¤ p...
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5互换 - p £ swap...

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