[PDF] Chapitre 5. Swap de Taux et Asset-Swap Gov/Corp





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Understanding Interest Rate Swap Math & Pricing

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ACTUAIRES

12 janv. 2021 2.3.4 Saisonnalité de l'inflation et pricing de produits dérivés . ... Ainsi pour un swap de taux de maturité TM



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Swaps Options and Futures - Edward Bodmer

On this page you can review some excel files and analysis for valuing interest rate swaps exchange rate swaps and various different real options

:
Ff i=NCfFixeavec BaseFixe=30360 t0+N t1 Ff t1tK-1 Ff tK-1 FftK tK f

Fvi=N~ZjfV ariableavec BaseV ariable=Exact360

1??? ????? ?? ????

f=12 t0 -N t1Fv t1t2?

Fvt2tM-2?

FvtM)2tM-1?

FvtM)1

?FvtM t 0=t0

0= 0et tK=t0

M=T V

Banque XBanque Y

Xibor 10.1% Xibor 10.2% ???? ???????C P;2AC

P;3A???C

P;5A???C

E;2AC

E;3A???C

E;5A???C

Mid;2AC

Mid;3A???C

Mid;5A???C

Mid;15A??????? ? ??????? ?? ???? ???? ? ?? ???? ?

C

Mid;k=CP;k+CE;k2

avec CP;k> CE;k(k= 1A:::15A) ???? ??Z

Mid;2AZ

Mid;3A???Z

Mid;5A???Z

k=1(1 +Zk)fk i ? ? ?t0 V V

Fixe=CKX

k=h+1 t;tk+ 100t;tK V

V ariable=MX

j=i+1 t0 jEQhfFvt0 ji + 100t0 M ii E

QhfFvt0

ii = 100t0 it0 i1360 RFwd t0 i;t0 i1 R Fwd t0 i;t0 ? ?? ???? ?????EQheFi

1 +Zt0

i1 t0 i1t360 1 +t0 it0 i1360 RFwd t0 i;t0 i1!

1 +Zt0

i t0 it360 R Fwd t0 i;t0 i1=360t 0 it0 i12 6 664

1 +Zt0

i1 t0 i1t360

1 +Zt0

i t0 it360 13 7 775
R Fwd t0 i;t0 i1=360t 0 it0 i1"t0 i t0 i11# V

V ariable=MX

j=i+1 t0 jEQhfFvt0 ji + 100t0 M =t0 i+1Fvt0 i+1+MX i=i+2 t0 jEQhfFvt0 ji + 100t0 M =t0 i+1Fvt0 i+1+ 100MX i=i+2 t0 j" t0 j1 t0 j1# + 100t0 M =t0 i+1h

100 +Fvt0

i+1i V

V ariable=

100 +Fvt0

i+1 t0 i+1avec Fvt0 i+1= 100Ri;i+1t0 i+1t0 i360 t0 i+1? i? ? ?t0 V

Swap=CKX

k=h+1 tk+ 100t;tK |{z}

Branche Fixe

100 +Fvt0

i+1 t0 i+1|{z}

Branche V ariable

-100 t1Fv t1t2?

Fvt2tM-1?

FvtM)1tM?

FvtM +100Ent2=t1+ 3Mon re¸coit le mon-
tant d"int´erˆetFvt2dont le taux de r´ef´erence a ´et´e fix´e en datet1

Ent1on fixe le taux de r´ef´erence (Euri-

bor 3M) qui sera utilis´e pour calculer le i??? ?????t0 i ?t0 i=t0 t0 ??? ?????t0 0 0t 0 1t 0 2t 0 M1t 0

M?????100 +Fv

t0

1?????100 +Fv

t0 2? ?????100 +Fv t0

M1?????100 +Fv

t0 t0 1Fv t0 2Fv t0

M1100 +Fv

t0 Fv t0 i=Fvt0 i i? ? ?t0 ?? ???? ? ?? ????? ? ???? ????? ???? Ri;i+1? ???? ?? ??????t0 i+1 i+1?t0 i+2? ????t0

M1? ??? ?????

V

V ariable=

100 +Fvt0

i+1 t0 i+1avec Fvt0 i+1= 100Ri;i+1t0 i+1t0 i360 V V

Swap=CKX

k=1 tk+ 100tK100 C =100(1tK)P K k=1tk C =P M j=1t0 jEQh Fv t0 jiP K k=1tk ??? ?2? C 1=P M1 j=1t0 jEQh Fv t0 jiP K1 k=1tket C 2=P M2 j=1t0 jEQh Fv t0 jiP K2 k=1tk t

1=tM1=t0

K

1< tM2=t0

K

2=t2(t1;t2N)

C

Fwd1;2=P

M2 j=M1+1t0 jEQh Fv t0 jiP K2 k=K1+1tk M 2X j=1 t0 jEQh Fv t0 ji =M 1X j=1 t0 jEQh Fv t0 ji +M 2X j=M1+1quotesdbs_dbs19.pdfusesText_25
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