デリバティブスワップについて

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This topic contains 40 replies, has 2 voices, and was last updated by  jordan 1 mid 6 months, 3 weeks ago.

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  • #3478 Reply

    山本

    スワップの解説中に契約日には将来の金利受け取りと金利支払いの現在価値が同じとの記述がありますが、これは固定金利と変動金利が等しいということですか?

    #3479 Reply

    ニャンともいえニャイ

    解説がどのような文脈なのか良く分かりませんが…
    固定金利と変動金利が等しいということでは無いと思います。(たまたま等しいということはあるかもしれませんが)

    スワップを締結した時に、一方がもう一方にお金を渡していないとすれば、固定金利と変動金利の交換が等価交換であると考えられるため、固定金利と変動金利の時価は等しい。
    ということではないでしょうか。
    なお、時価というのは、理論的には将来キャッシュフローの割引現在価値です。

    もうちょっと、深く考えてみると。
    味現在価値というのは、将来キャッシュフローを割引率で割り引いたものですよね。
    まず、将来キャッシュフローについて考えると、
    固定金利の場合、将来のキャッシュフローの額が固定されているため、リスクは低いです。
    一方、変動金利の場合、将来のキャッシュフローの額がブレるので、リスクが高いです。
    一般にハイリスクハイリターン・ローリスクローリターンといわれるように、変動金利の将来キャッシュフローの期待値の方が高いはずなんです。
    次に、割引率について考えると、
    これも上のハイリスクハイリターン・ローリスクローリターンの話になるんですけど、負うリスクに対してあるべき収益率が割引率です。
    理論上、固定金利と固定金利の割引率は同じ率で、変動金利と変動金利の割引率は同じ率です。
    よって、将来キャッシュは変動金利の方が大きいが、割引率も変動金利の方が大きいので、理論上、結局両者の現在価値は等しくなるのです。

    #3480 Reply

    山本

    お疲れさまです。将来の固定金利または変動金利のキャッシュフローをそれぞれの利率(変動金利はその時点のものとする)で割り引いた現在価値は結局その時点での固定金利または変動金利を示すだけのものであり、したがって等価になるとは限らないと思料いたします。

    #3481 Reply

    山本

    やはり勘違いでした。現在価値は想定元本になるのですね。しかしそんな計算に意味があるのでしょうか。

    #3483 Reply

    あそ〜ん
    Keymaster

    意味ははっきり言ってないかもしれませんね。
    スワップ契約締結時に、契約が等価で成立するということを理論的に確認できるくらいか。
    そして、契約日以降、これらにズレが出てきて資産負債を計上するためにも、「初めは等価だよ」っていう確認です。

    #3485 Reply

    山本

    ニャンともいえニャイさんには失礼ですが、回答の後半は普遍性が全くないと思料いたします。今後回答されるときは私以外にされるようお願い申し上げます。

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