Professional Documents
Culture Documents
: .
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1.
(FX FOREX)
.
, .
, ,
.
, /
. 14/10/2004 13:40,
1,23678 , 1,23678
USD/EUR.
.
.
2 , 2 /,
. ,
.
,
.
.
1..1
,
. , ,
. ,
E
(St )
1.1
I.1:
StE
St
(/)
StE
;
. -,
.
. , ,
. ,
. -,
.
,
, ,
.
, ,
. ,
. ,
.
, .
.2.
.
.2:
St
S0
S1
D
. t
T :
s(t,T)=(S(T)/S(t))-1
S(t)
( spot).
.
. , (
)
. , , s(t,T)
t. ,
s(t,T) .
.
2..
.
: (retail tier)
(wholesale tier).
.
, , 2000
,
. 24
. To
Sydney
, ,
.
. trader
/,
, .
, ,
.
traders .
, .
.
. USD 10
( dealers).
Bank of International Settlements (BIS) 2001,
spot, forward swap- 1,2 , 19%
1998.
.
2001,
USD 637 , (USD 350 ) , (USD 150 )
(USD 140 ). , , USD 70 95 .
USD, EURO JPY.
USD/EURO
2001 30% ,
USD/JPY 20% USD/GBP 11%.
4,5%
2001, 1998 3,1%.
, (57%)
.
:
.
.
2..1
, .
.
. SWIFT (Society for Worldwide Interbank Financial
Telecommunications),
. .
.
SWIFT .
.1: Banco del Suquia,
, (CHF) Malayan Banking
Berhard, , (JPY).
.
Banco del Suquia Malayan Banking Berhard CHF
, Malayan Banking Berhard
Banco del Suquia JPY
. SWIFT
. Banco del Suquia JPY
Malayan Banking Berhard CHF
.
,
(correspondent bank).
.
. ,
.
nostro
().
.
,
.
(.. , FED)
.
2..2
(Speculation)
.
.
.
.
(Hedging)
,
, .. . ,
,
. ,
.
Arbitrage
,
. arbitrage
arbitrage (spatial arbitrage),
. , arbitrageur
GBP 1,61 USD/GBP
GBP 1,615 USD/GBP .
arbitrage (triangular arbitrage)
. ,
(cross rates) arbitrage.
arbitrage (covered interest arbitrage)
spot (forward)
.
2..3
, ,
, , .
, .
,
.
,
, arbitrageurs
.
dealers traders.
.
2..3.i Dealers, Market Makers, Brokers
dealer
.
dealer .
dealers market makers. ,
(bid ask),
, .
market maker
, (bid ask quote). market
maker . market makers
(bid) (ask).
(bid) (spread).
bid ask 0.03%
.
market makers
.
(broker) .
dealer 500 JPY
. ,
,
. dealer
broker, broker
.
broker ,
. brokers
.
broker, dealer
.
.
dealer
broker.
. dealers
dealers
.
1992 Reuters
. dealers
. . traders
Reuters 2000
.
Reuters 2000
. Reuters 2000 MINEX
, Dow Jones Telerate Electronic
Brokering Service (EBS) Quotron
.
trading
. spot
,
.
trading , dealers
,
.
traders
(
).
trading
dealers,
.
internet .
(..
) internet
.
2.
2..1 Spot
spot .
.
value date
.
, dealers ,
10 EUR
. spot .
,
. traders
. USD/JPY
0,00902 0,009063. 0,0090 big figure
traders . the small
figure. traders bid-ask
02-63.
2001, BIS (Bank of International Settlements)
spot 387 USD.
. 19% .
. dealers
. dealers dealers
.
2..1.i
. ,
.
,
.
.
.
USD.
. (
(GBP), (NZD), (IEP),
(AUD)) EUR.
.
.2
() : JPY/USD ( )
JPY
L.A. JPY 110,34-111,09 dealer USD
110,34 JPY (bid) USD JPY 111,09 (ask). USD
dealer, 0,75 JPY.
() : USD/JPY ( )
dealer L.A. , bid
ask ,009002 - ,009063 USD JPY.
,
. :
S()bid = 1/S()ask,
S()ask = 1/S()bid.
. .
, , .
,
.
market makers.
.
market makers
. , JPY
JPY
. , JPY
,
JPY .
dealers
.
dealers
. dealer JPY
. , ,
.
2..1.ii
/ .
/ USD.
trader -
JPY/CHF, -
. -
.
USD,
USD. JPY/GBP
USD/JPY USD/GBP.
.
arbitrageurs
. ,
arbitrage
.
.3
: S=,0104 - ,0108 USD/JPY
S=1,5670 1,5675 USD/GBP.
JPY/GBP. H JPY/GBP
GBP JPY, JPY
GBP. (
GBP JPY) JPY USD
(1/,0108) JPY/USD
USD GBP
1,5670 USD/GBP. :
Sbid,JPY/GBP = Sbid,JPY/USD x Sbid,USD/GBP =(1/,0108) JPY/USD x (1,5670) USD/GBP =
145,0926 JPY/GBP.
, JPY/GBP
145,0926 JPY/GBP
,
JPY/GBP ( GBP JPY) :
Sask,JPY/GBP = Sask,JPY/USD x Sask,USD/GBP =(1/,0104) JPY/USD x (1,5675) USD/GBP =
150,7211 JPY/GBP.
.4: arbitrage
1.3 trader
: Sask,JPY/GBP = 143,00 JPY/GBP. trader
arbitrage:
(1) USD 1.000.000 ,0108 USD/JPY. trader JPY
92.592.592,59
(2) JPY 92.592.592,59 143,00 JPY/GBP. GBP
647.500,65
(3) GBP 647.500,65 1,5670 USD/GBP. trader
USD 1.014.633,51
USD 14.633,51. trader
.
, Sask,JPY/GBP = 143,00 JPY/GBP
.
2..2
(Forward market)
.
,
.
. spot ,
(settlement date) .
.
,
.
dealing rooms , ,
.
. , 74
, .
.
(
,forward points).
GBP ( ) 180 0,0100 0,0108.
8-100.
,
.
, ,
. spot
.
spot outright.
.5: St = 1,5670 1,5677 USD / GBP.
outright .
()
180 0,0100 0,0108 (8-100).
Ft,180 = 1,5770 1,5785 USD/GBP
(B)
180 0,0072 0,0068 (68-4).
Ft,180 = 1,5602 1,5605 USD/GBP
.
1.000.000 GBP.
(GBP) (USD)
90 .
90
.
: outright
swap.
outright
,
. swap ( )
spot ( )
.
spot ,
.
,
. traders
swaps
.
swaps
. 2001 BIS
swaps 656 , 1,2
.
swaps . 70%
.
Swaps (FX swaps) Swaps (Currency swaps):
. Swaps
2..4
.
.7:
9 1994, Wall Street Journal
(spot forward).
:
EXCHANGE RATES
Tuesday, November 8, 1994
Currency
U.S.$ equiv
per U.S.$
Country
Tues.
Mon.
Tues.
Mon.
Argentina (peso)
1,01
1,01
0,99
0,99
Australia (Dollar)
0,7532
0,7535
1,3277
1,3271
Austria (Schilling) 0,09415
0,09364
10,62
10,68
Bahrain (Dinar)
2,6529
2,6529
0,3770
0,3770
Belgium (Franc)
0,03219
0,3203
31,07
31,22
Brazil (Real)
1,1848
1,1848
0,8440
0,8440
Britain (Pound)
1,6200
1,6137
0,6173
0,6197
30 - Day Forward
1,6193
1,6130
0,6173
0,6197
90 - Day Forward
1,6188
1,6125
0,6177
0,6202
180 Day Forward 1,6167
1,6104
0,6185
0,6210
Canada (Dollar)
0,7375
0,7369
1,3560
1,3570
30 - Day Forward
0,7375
0,7369
1,3560
1,3570
90 - Day Forward
0,7378
0,7273
1,3553
1,3563
180 Day Forward 0,7372
0,7366
1,3565
1,3575
2.C
2.C.1 M E (Currency
Futures)
.
futures .
.
2.C.2 (Currency options)
, (over-the-counter (OTC)).
(call options)
, ,
(strike price exercise price)
. (put
options) ,
,
(strike price exercise price)
.
(the writer of an option). ,
premium .
Philadelphia . (International
Monetary Market) SIMEX (Singapore International Monetary Exchange)
.
.
.
;
:
(1+rd) = (1+rf)(1+st,T)
(I.1)
rd: .
rf: .
st,T: t t+T
.8: 1980 1999,
10,92% . (JPY)
4,03% .
:
rd- = (1.1092)(1.0403) - 1 = 15.39%.
.
1980 1999, 12,6%
. USD JPY 3,87% .
:
rd- = (1.1260)(.9613) - 1 = 8.24%.
,
rd.
st.
st,T rd.
.
4.A
:
.
(ARS)
ARS. ARS (),
() .
() ()
.
.
.
, ,
,
. ,
, ARS
USD.
USD ( ARS).
. ARS
, .
,
.
.9:
2001. ARS
100 . 2001
S01=1 ARS/USD. To ARS 100 10% ARS. ,
2001 USD 100 , 110 ARS
2002. ARS
USD. : USD
ARS 2002 , S02 USD
ARS 2002 .
.
.
110 ARS( USD)
.
1,02 ARS/USD
:
(110/1,02)-100=USD 7,84
2001
2002)
,
ARS 10%, , S02 =1,10 ARS/USD.
USD (110/1,10)-100=0
. ()
2001
ARS 100 , .
, ARS-put/USD-call
110 ARS, 1,04 ARS/USD.
1 ARS.
( )
(110/1,04)-100-1=4,76 USD
2001
spot 2002
S02 =1,10 ARS/USD
4,76 USD
S02 = 1,00 ARS/USD ( )
(110/1,00)-100-1=9 USD
. ARS ,
. ARS ,
. ,
,
trader .
1. ,
EUR/USD (
(ceteris paribus)):
()
()
.
2. 19 2000 Wall Street Journal
Euro
.
Euro?
. ,
.
3. 1,1848 BRR/USD
1,01 ARS/USD.
BRR/ARS.
4. trader :
S(JPY/USD) = 123,39-49 JPY/USD
S(CHF/USD)= 1,7445-87 CHF/USD
S(JPY/CHF) = 61,5450-107 JPY/CHF
trader ?
5. Hong Kong (HKD) 0,15
(CHF), spot 0,15 CHF/HKD.
CHF 96 (JPY) (S(t)=96 JPY/CHF)
a. HKD/JPY?
b. 90 discount premium
JPY/HKD 90 18
JPY/HKD. premium discount.
6. USD 22,87%
. ,
(PLN) 5,23% USD.
(.
PLN)?
, ,
.
arbitrage ,
. ,
arbitrage (
) ,
.
,
.
arbitrage.
(parity relations). arbitrage ,
. ,
(equilibrium
value or benchmark). . ,
,
.
Arbitrage
arbitrage
.
.
:
i(d) = T .
i(f) = T .
S(t) = spot t ( :
)
F(t,T) = t, T.
t=0
:
1. t,
T . ,
(1+ i(f)*T/360) .
2. t,
, . S(t)
.
3. t, S
, .
S(t) * [1+ i(d) * T/360]
.
4. t, T
( )
F(t,T).
T, S(t)*[1+i(d)*T/360]
,
F(t,T) . ,
S(t)*[1+i(d)*T/360] / F(t,T) .
,
. arbitrageurs
, arbitrage
:
S(t)*[1+i(d)*T/360] / F(t,T) = [1+ i(f) T/360]
F(t,T),
:
F(t,T) = S(t)*[1+i(d)*(T-t)/360] / [1+ i(f)*(T-t)/360]
(II.1)
F(t,T) (II.1),
arbitrage.
(II.1), traders
arbitrage.
; :
(II.1)
.
.1: .
JPY/USD. spot 150 JPY/USD,
7% 9%,
147,25 JPY/USD
, .
, Xbank
F(1) = 140 JPY/USD. arbitrageurs
arbitrage .
t=
1 USD
9%
T = 1 year
USD 1.09
1,146 USD
1, 09
JPY 150
7%
JPY160,5(USD1,146=160,5/140)
, 0,056 USD
USD .
. Xbank
JPY,
.
(.1)
. (.1) S(t)
:
F(t,T) / S(t) = (1+ i(d)*(T-t)/360) / (1+ i(f)*(T-t)/360)
1
[F(t,T) S(t)] / S(t) = [(i(d)- i(f))*(T-t)/360] / (1+ i(f)*(T-t)/360)
:
[F(t,T) S(t)] / S(t) [i(d)- i(f)]*(T-t)/360
(.2)
1.
premium
premium, p:
P = [(F(t,T)-S(t))/S(t)]*(360/(T-t))
spot
(
swap rate). ,
T-t :
F(t,T)-S(t) = S(t)*((i(d)-i(f))*(T-t)/360 / (1+i(f)*(T-t)/360)
.
.2: .1
:
150 JPY/USD * [(1+0,07)/(1+0,09)-1] = -2,7523 JPY/USD .
arbitrage
arbitrage.
.1
premium .
II.1:
id -if
B (
)
IRP
A ( )
p ( premium)
p>i(d)-i(f), .
,
, premium.
.
arbitrage i(d), i(f), S(t) F(t,T).
i(d)-i(f) :
( ),
( ). ,
premium :
( ),
(
). , arbitrageurs
.
, p<i(d)-i(f),
. ,
,
.
, ,
.
arbitrage
B .
.3
( .1)
S(t) = 150 JPY/USD
i(JPY, 1) = 7%
i(USD, 1) = 9%
,
(bid ask spreads). S(bid,t)
S(ask,t) .
F(bid,t,) F(ask,t,) ()
()
. , ( )
(..
.
i(bid) i(ask)).
i(bid,d) i(ask,d)
, i(bid,f), i(ask,f)
.
trader . trader
(ask) ,
(bid) o . trader
arbitrage, :
.
1.C.1 (bid) :
arbitrage:
1. T .
2.
3. T .
4. , .
, t=0 (
i(ask,d)), 1+i(ask,d)*T/360 .
,
(spot) S(ask,t)
T
F(bid,t). T
i(bid,f).
:
(1 / S(ask,t)) (1+i(bid,f)*T/360)*F(bid,t,T)
,
.
(1 / S(ask,t)) (1+i(bid,f)*T/360)*F(bid,t,T) 1+i(ask,d)*T/360
F(bid,t,T),
F(bid,t,T) S(ask,t)* [(1+i(ask,d)*T/360) / (1+i(bid,f)*T/360)] = U(bid)
1.C.2 (ask) :
arbitrage:
1. T .
2.
3. T .
4. , .
, t=0 (
i(ask,f)), 1+i(ask,f)*T/360 .
:
F(ask,t,T) S(bid,t)* [(1+i(bid,d)*T/360) / (1+i(ask,f)*T/360)] = L(ask)
: (
F(ask,t,T)>F(bid,t,T))
.
.2: (bid)
(ask) .
Fask,t,T
Fbid,t,T
Lask
Ubid
.4: :
S(t)=1,6540-0080 USD/GBP
i(USD)= 7,25-50
i(GBP)= 8,125-375
F(t, )=1,6400-0050 USD/GBP.
arbitrage.
Ft,T
.
arbitrage .
, (spot)
.
,
arbitrage.
arbitrage, . trader
( arbitrage)
(
) .
. ,
.
, . trader
.
.
.1
.5: 10-
(bid)
trader
bid 10- USD/JOD ( JOD
). USD/JOD
10-
. 10-
bid 6% ask 8% .
ask USD/JOD 1,60 USD/JOD.
(USD) , USD JOD
(JOD).
, 10- bid:
F(bid, t, 10)
= S(bid,t) * [(1+i(bid,d,10)) / (1+ i(ask,f,10) )]10
= 1.60 USD/GBP [1.06/1.08]10 = 1.3272 USD/GBP
.
,
traders .
1.
.
premium
p i(d) i(f). premium
, .1.
45 .
:
P = + * (i(d) i(f)) * T/360 +
.
, =0 =0.
F-test .
,
. .
? arbitrageurs
? .
.
arbitrage
arbitrage.
arbitrageur ,
. ,
, ( p (i(d)-i(f))),
. arbitrageurs
.
. arbitrageurs
arbitrage .
.
,
arbitrage.
arbitrage. .
. ,
, .
.
,
arbitrage .
,
arbitrageurs . ,
,
.
. , arbitrage
. ,
.
arbitrage .
.
. arbitrage
.
arbitrage computers
, ,
, . arbitrage
.
(Purchasing Power Parity (PPP)).
2.
( PPP),
Gustav Casell 1922. PPP Cassel
: .
.6: .
15 USD
0,5 USD/CHF,
30 CHF. ,
,
USD/CHF. :
S(t) = P(oil,US)/P(oil,SWIT) = USD15/CHF 30 = 0,5 USD/CHF
St = 0.75 USD/CHF,
USD- .
traders ( )
.
USD
CHF.
,
, arbitrage.
,
.
.
,
.
(absolute version of PPP):
:
St = / = Pd / Pf
( PPP)
, PPP :
.
. ,
.
PPP, arbitrage
.
.
:
.
USD
.
arbitrage .
,
.
.
.7: (
(consumer price index (CPI))).
-USA = USD 755.3
-SWIT = CHF 1241.2
St = USD 755.3/CHF 1241.2 = 0.6085 USD/CHF.
St 0.6085 USD/CHF,
.
PPP:
(1) PPP .
(2) : .
(3) PPP Pf Pd .
: -.. ,
.
(4) PPP
PPP: tests
PPP: PPP .
2.A.1
PPP St,
.
.
PPP
, Rt. ,
Rt = St Pf / Pd.
,
, .
PPP , Rt 1. Rt
, .
.
, PPP
/
, Rt .
.8: Big Mac-
CHF 6.29 USD 3.50.
Pf = CHF 6.29
Pd = USD 3.50
St = .6420 USD/CHF.
Rt = St PSWIT / PUS =.6420 USD/CHF * CHF 6.29/USD 3.50 = 1.153.
Big Mac ,
. ,
.
- Big Macs-
USD CHF. PPP, USD
CHF. (Trading : USD/ CHF.)
,
S(t),
.
,
.
1999, (ARS) USD,
1,8%,
2,5%, ARS/USD 1. ARS
USD. ,
,
.
, ,
67%, ,
, ,
.
2.
,
.
.
.
,
.
,
:
st,T = (St+T/St) -1 = (1 + Id) / (1 + If)
,
If = [P(d,t+T)/P(d,t)]-1= t t+T;
Id = [P(f,t+T)/P(f,t)]-1= t t+T.
,
. .
:
,
:
(t, s(t,T)) E(t, I(d)) E(t, I(f))
, o .
, SUSD/EUR,t ( , 1 2).
I 9: St PPP.
:
CPIUS,2003=104.5,
CPISA,2003=100.0, S2003 =.2035 USD/ZAR.
2004
:
E[CPIUS,2004]=110.8,
E[CPISA,2004]=102.5.
S2004 ()
PPP.
E[IUS]= (110.8/104.5) - 1 = .06029
, ,
. ,
,
R(t), .
.
. , ,
, .
,
.
,
. ,
.
2.C
PPP:
S(t). .9,
S(t)
. ,
.
,
.
,
. ,
,
.
S(t) R(t)
. .
2.D
PPP:
. ,
,
.
(sticky prices),
. , , arbitrage
,
. ,
. ,
. , ,
. ,
.
2.F
PPP:
,
PPP
.
PPP
PPP
. ,
PPP .
.10: 1996, ,
8,1 , 27,5% ,
0,9 USD 3,1% .
PPP , 7,6 USD
(22%) 4,3 USD (12,3%).
737 USD, PPP 3.471 USD.
Arbitrage
.
.
. , Fisher,
,
. ,
I.1, ,
, T
:
r(d) = (1+i(f)*T/360)*(1+E(s(t,T)))-1
i(f) = T
i(d) = T
, T :
r(d) = (1+i(d))*T/360
s(t,T) =
(S(t+T)/S(t)-1),
E[s(t,T)] = [(1+i(d))*T/360] / [(1+i(f))*T/360] 1
(II.3)
Fisher, (.3), ,
T . IFE
.
,
:
E[s(t,T)] = [i(d) i(f)]*T/360
PPP IFE
IFE:
Fisher (IFE) , (
) .
,
.
,
.
IFE,
.
IFE ,
. ,
,
. , 1990,
(MXP) 5% .
MXP USD 7% 16%.
IFE (2% 11%).
,
Fidelity Short-Term World Income Fund,
.
1994, MXP 40%
!
3.D
IFE:
Fisher (IFE), .
IFE (.3).
, :
s(t,T) = + * [( i(d,t-1) i(f,t-1)) * T/360 / (1+ i(f,t-1) * T/360)] + (t)
H(0): =0 =1.
F-test.
.
, IFE :
. IFE, ,
,
.
USD/DEM (DEM = ( )),
(.
10- ).
IFE. ,
1% 10-
USD/EUR 10%.
1. , PPP
, .
Fisher (IFE) (PPP),
IFE .
IV. (Expectations
Hypothesis of exchange rates(EH))
()
spot T ( S(t+T)),
T (F(t,T)), .
[t, S(t+T)] = F(t,T)
(II.4)
(spot) . ,
,
spot , .
(.4) . ,
. [t, S(t+T)] F(t,T).
, .
F(t,T) T
.
.
!
II.12:
.
: Ft,180 = 5.1764 ZAR/USD.
: E[St+180] = 5.34 ZAR/USD. ( .)
:
1. USD ZAR 5.1764
2. USD ZAR 5.3400, 180 days.
, St+180 = 5.3400 ZAR/USD
: USD (
USD). EH
.
, ,
.
(.4) :
[[t, S(t+T)] S(t)] / S(t) = (F(t,T) S(t)) / S(t)
,
(i(d) i(f)).
:
[[t, S(t+T)] S(t)] / S(t) [i(d) i(f)] * /360
(.5)
(.5) .
(.5) ,
[S(t+T)] = F(t,T). , (.5)
(uncovered interest rate parity (UIRP)).
arbitrage.
. ,
( ) spot
(
).
.
4.
,
, .
( )
, .
( )
, spot . ,
,
.
4.
.
:
spot ; : Ft,T
St+T?
(.4)
:
[S(t+T)-F(t,T)] / S(t) = a + b * Z(t) + (t),
(t)
, .. (i(d)-i(f)).
a=b=0. b
Z(t) = i(d)-i(f). R2
.
(.5)
, :
[S(t+T) S(t)] / S(t) = a + b * [i(d)-i(f)] + (t),
, H(0):
a=0 b=1. b<0. , i(d)-i(f) = 2%,
(b * 0,02) , 2%
.
,
spot . ,
spot .
4.C
spot ,
.
4.C.1 Premium
premium . premium
, .
premium
, . ,
(t, S(t+T)) F(t,T)
.
premium
.
( ),
:
[[t, S(t+T)] F(t,T)] / S(t) = RP(t,t+T)
RP(t,t+T) premium (risk premium).
.13
Premium :
:St=1.58 USD/GBP
Et[St+6-mo]=1.60 USD/GBP
Ft,6-mo=1.62 USD/GBP.
St (Et[St+6-mo]-St)/St = (1.60-1.58)/1.58= 0.0127.
6- FX premium (Ft,6-mo-St)/St=(1.62-1.58)/1.58= 0.0253.
6 :
GBP USD 1.27%
premium GBP 2.53%.
FX risk premium, Pt,t+6-mo,
St+6-mo.
premium
.
(
)
.
premium
:
E[t, S(t+T)] = F(t,T) +S(t) * RP(t, t+T)
premium RP(t,t+T) ,
.
premium
.
spot . ,
premium
premia , ..
(volatility).
premium .
, premium
.
.
4.C.2
. , ,
. ,,
.
.
, .
.
4.C.3 Peso
Peso,
.
,
(
) ,
.
ex-ante . ,
ex-ante .
,
.
(peso problem),
peso 1976.
1976, USD 23 .
,
MXP/USD spot
MXP/USD. , MXP/USD premium. ,
.
.
.14
peso USD
.
, , peso
.
1890-1908 USD/GBP
. ,
USD GBP, ,
. .
1. spot USD/ZAR 0,19630 (ZAR = ).
55% ZAR 7% USD.
USD/ZAR? 5,5%
ZAR 6% USD.
USD/ZAR?
2. (ISS) USD:
S(t) = 3,40 ISS/USD
i(ISS, 1 ) = 8%
i(USD, 1 ) = 5,5%
F(t, 1 ) = 4,30 ISS/USD
(i)
(ii)
VI
(interest rate and currency swaps)
(swaps)
:
-
- arbitrage
-
-
4 swaps:
-
-
-
-
swap ,
,
.
:
- (currency swap (swap ))
- (interest rate swap (swap ))
-
(cross-currency interest rate swap
( swap))
swap.
swap: (fixedfor-floating).
- swap
- (notionals)
- (interest differential)
:
( ) 8% swap
.
Notional
()
:
:
:
:
100 . USD
8%
LIBOR 6.
( )
8%
LIBOR
6-LIBOR 7%.
USD100.*8%*(1/2)
USD100.*7%*(1/2).
USD100.*1%*(1/2) = USD 500.000.
Swaps
/ arbitrage
:
(. ) USD.
:
(i)
USD
(ii)
JPY USD
( )
Ardiles Co.
.
Ardiles
:
Ardiles Co.
6.LIBOR+1%
10%
Bertoni Bank Ardiles swap 8%
LIBOR.
Ardiles
swap
.
!!! :
Ardiles USD 70
6m-LIBOR + 1%
H Ardiles Bertoni 8% swap notional USD 70.
Ardiles :
Ardiles Co.
8%
Bertoni Bank
LIBOR
LIBOR+1%
Ardiles Co. :
(LIBOR + 1%) + 8% - LIBOR = 9%
1%
.
swap
swap :
o long (~ ) short
(~ )
o
Ardiles long
70 . USD 6m-LIBOR
short 70 . USD 8% .
swap :
V: swap
B =
swap
=
swap
swap o swap (
) V = -
swap. LIBOR.
swap
. LIBOR :
6m-LIBOR :
6,00%
12m-LIBOR :
6,25%
18m-LIBOR :
6,25%
24m-LIBOR :
6,50%
/360, :
=
2,8 / [1+6%*(181/360)] + 2,8 / [1+6,25%*(365/360)] + 2,8 / [1+6,25*(546/360)]
+72,8 / [1+6,5*(730/360)]
= USD 72.521.371,94
B =
2,1 / [1+6%*(181/360)] + 2,1875 / [1+6,25%*(365/360)] + 2,1875 /
[1+6,25*(546/360)] +72,275 / [1+6,5*(730/360)]
= USD 69.951.000,36
swap Ardiles Co. :
V = 69.951.000,36 72.521.371,94 = -2.570.368,38 USD
AAA Co.
6m-LIBOR+0,25%
11,5%
BBB Co.
6m-LIBOR+0,5%
13%
Spread
0,25%
1,5%
H BBB
.
10- swap 10 . USD
12%
BBB Co.
AAA Co.
LIBOR
LIBOR + 0,5%
11,5%
:
AAA Co. = 11,5% + LIBOR -12% = LIBOR 0,5%
BBB Co. = LIBOR + 0,5% + 12% - LIBOR = 12,5%
6
Co. USD 625.000 Co.
AAA Co. USD 10.000.000*[LIBOR-0,5%]/2 Co.
swap
, Co. swap
10,9% ( 10,9%
6m-LIBOR .)
Co. swap swaps
.
swap 12,5% 6m-LIBOR
swap 6m-LIBOR 10,9%
1,6% 5 (USD 80.000 )
( ) swaps BBB Co.
:
PV(-80.000 USD, 5,45%, 10 ) = -604.000 USD
BBB
:
10,9%
Co.
12%
Co.
LIBOR
LIBOR
LIBOR + 0,5%
:
()
() 604.000 USD LIBOR + 0,5%
.
50.
USD 4%. 90,776508
(Yield to Maturity) 7,55% .
:
4% . 12m-LIBOR+0,25%
. 3- swap
7,0226% LIBOR swap dealer
swaps
( swap dealer).
swaps
:
.
dealer
1997 -3.511.300
1998 -3.511.300
1999 -3.511.300
0,25%
-125.000
-125.000
-125.000
4%
2.000.000
2.000.000
2.000.000
-1.636.300
-1.636.300
-1.636.300
?
, .
() , discount
, 7,55%
-4.251.640 USD
()
90,776508%*50.000.000 USD = 45.388.254 USD
100% . 50 . USD
4.611.746 USD
() () + ()
-4.251.640 + 4.611.746 = 360.106 USD >0
!!!
?
:
= 7,55%
Swap = 7,0226%
= 0,5274%
52,74 bps : 25bps
27,74 bps .
ExxonMobil EUR.
Elf USD.
St=0,80 USD/EUR
:
EUR
USD
ExxonMobil
8%
8,25%
Elf
7,75%
8,35%
swap.
Exxon 10.000 1.000 USD 8,25%
.
Elf 8.000 1.000 EUR 7,75%
.
Exxon Elf
.
H Exxon Elf 38,026975 EUR
( Elf
77,5 EUR )
Elf Exxon 41,25USD (
Exxon
).
:
EUR 304.215,80
ExxonMobil
USD 412.500
Elf
Exxon Elf
:
St = USD 412.500/ EUR 304.215.80 = 1,3559 USD/EUR
Currency Swaps
swap
. swap
.
:
RDKK = 5% RUSD = 6,5% .
swap
:
5,5% DKK
6% USD
(notionals) 53.DKK 10.USD
swap 3 .
St = 0,18868 USD/DKK
BUSD = 0,6/(1+6,5%) + 0,6/(1+6,5%)2 + 10,6/(1+6,5%)3 = 9.867.577
BDKK = 2,915/(1+5%) + 2,915/(1+5%)2 + 55,915/(1+5%)3 = 53.721.661
VUSD( USD DKK)
= 53.721.661*0,18868-9.867.577 = 268.585,45USD
VUSD( DKK USD)
= 9.867.577 - 53.721.661*0,18868 = - 268.585,45USD
Swaps
Swap
Belabu,
500.000 .
Belabu 4
Belabu
LTT/
H Belabu swap dealers
o Swap dealer
( Belabu): 2,05 USD/
( Belabu):
o Swap dealer
Swap 4 8,2% 6m-LIBOR
o Swap dealer
Swap 4 , LTT USD 7,8% 6mLIBOR
Belabu : swap
o USD elabu :
500.000*2,05 = 1.025.000 USD
o (notional)
swap USD swap
1.025.000 USD ( swap = 8,2%)
1.025.000/4,1% = 25.000.000 USD
o
swap 8,2%
(1.025.000, 4,1%, 8 ) = 6.872.600 USD
o US D
LTT.
4,74*6.872.600 = 32.576.124 LTT
o LTT LTT
USD swap 32.576.124 LTT
7,8%.
(.=32.576.124, 3,9%, 8 ) = 4.818.500
o (notional) LTT
4.818.500 7,8%
4.818.500/3,9% = 123.551.282,10 LTT
, Belabu
:
LTT 4.818.500 / 500.000 = 9,637 LTT/
Spot
500.000
1.025.000 USD
B
Swap Dealer
E
L
A
USD 6m-LIBOR
1.025.000 USD
Swap Dealer
B
U
LTT 4.818.500
USD 6m-LIBOR
Swap Dealer