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2014利比值掉换、钱币掉换、掉落期、期权伸见

时间:2019-09-30 04:53来源:原创 点击:

????????????????Fixed RateCounterparty 1Counterparty 2Floating Rate??????????????????????(CNY Interest Rate Swap)???????????????????????????????????????????????????????????????????????,???????????????????? ?????????????????????????????????????????????????????????????????????? ????????????????Quaterly,semi-annually,annually) IRS?????????????????????????????????????????????????????????????????? ??????????????????????????????3????Libor????????????fixing??????7?????????Euro Libor??3????Euribor??????д????fixing.BBSW ?????????????Fixing7???? (7d repo)?????????????????????????(trading desks)???????к?????????????????????????????????????????(hedger)???????е??????????????????????г??????????????磩????shibor??o/n shibor)?????????????????????????????????????????????????????????3????shibor(3m shibor)????????????????????????в???????????μ???3m shibor?г???????shibor????????1?????(1y deposit rate)??1??????(1y lending rate)????????????????????籣??????????????????????????????????????????Fixing?????????Act/360 Act/365??????????????????????Basis??????????????????????????????????????(Forward Curve)??????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? (Hedging)????????????????????? (Balance sheet hedging)??????????????????? ( Interest rate risk hedging)???????? (Proprietary trading)?????????????? (Directional trade)????????????? (Curve spread trade)?????????(Basis trade)????????????????????????????????????ж??????????????????滻???????????????滻?????????????????????????????滻??????????????????????????????????????????????????????????????滻?????????????滻?????????б???????????????????-???????? ???????? ?????????????????????????????????????????????????????棬??????????????????????????? ??????? ???????????????????SPV)?????????????????????????????????????1.51% ?????????????????????????????????????????????????LIBOR??????????????????????????????????????SPV?????????????????????塣 ????????????1.51% ?????ο??? ??????????????3????LIBOR????????[37,470,580.00]????????????????????????????????????????????????????????????????????????????? ????????????????[1.51%]?????????????????? ???3????LIBOR??????2013??9??13????????2018??6??13??????????????????? ????????SPV???????????-???в?????????????????-?????????????????????-??????飨?????????С??????????????Opics????????????????????????г??????????????????????????塣?????IRS:???????????????Termsheet, ??????Opics???????????Confirmation, ?????????IRS: ??????????????????Opics????????Confirmation, ?????????????????????Curve Building ?C Market Curve Libor/Futures/SwapDiscount Curve ?C Capital Charge/Funding Charge????????????ι鼯???????????鼯??????????????????????????????????????????????????5???????????????5?????????????????????????????????????? ?C ??????????????7????????????????????????????2??????????????????????????????????????????? ?C ??????????????1???????????????????2?????????????????????????????????????????????? ?C ??????????????1??????????