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Financial engineering principles phần 5

Cụ thể, đó là tối đa số không hoặc sự khác biệt giữa giá giao ngay và giá cả các cuộc đình công. Hình A2.1 nơi các mối quan hệ trong bối cảnh của một tam giác của chúng tôi. Tóm lại, Gót chân Asin của một tùy chọn là biến động, không có nó, một lựa chọn trở thành một tiền đạo, và nếu không có biến động và thời gian, tùy chọn sẽ trở thành điểm. | 104 PRODUCTS CASH FLOWS AND CREDIT A credit default swap is still another example of a credit risk transfer vehicle. A credit default swap can be structured to trade to one or more underlying spot securities. In brief if the underlying security or basket of securities goes into default a payment is made that is typically equal to par minus any recovery value. Figure 3.7 presents an overview of the cash flows involved in a common credit default transaction or financial guarantee . Parenthetically there are some investors who view credit default swaps and total return swaps as being close substitutes for bonds. That is a swap is seen as comparable to buying a generic coupon-bearing bond and funding it at Libor on a rolling basis. The strategy can be summarized as follows Fixed-coupon par bond Par swap 3- or 6- month Libor cash investment. At the end of the first quarterly or semiannual period the floating part of the swap is again worth par and pays interest at the rate of Libor referenced at the start of the swap. This is precisely the case with the cash Libor investment the cash investment precisely matches the floating part of the swap at each successive 3- or 6- month interval. Thus the total return of a swap may be viewed as the return on a portfolio consisting of the swap and the cash investment in Libor the return is equivalent to the total return of the fixed part of the swap considered to be economically equivalent to a bond. There are many diverse considerations embedded within a credit derivative not the least of which involve important legal and tax matters. From a legal perspective an obvious though long-elusive requirement was for a clear and unambiguous definition of precisely when and how a default event is to be defined. The resolution of this particular issue was significantly aided with standardized documentation from the International Swaps and Derivatives Association ISDA . In 1999 the ISDA presented a set of definitions that could be used in .