Presentazione GINTS 2006/2007

Prodotti Strutturati su Tassi Andrea Gigli Interest Rate Derivatives Desk GINTS Siena, Settembre 2006

Roadmap Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Overview Attività Desk Derivati su tasso Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Model Calibration/Checking/Maintenance Andrea Gigli, Interest Rate Derivatives Desk “ Market Data” Models Parameters Valuation Models Pricing/Sensitivities/Greeks Plain Vanilla Soft Exotics Hard Exotics Official Data Provider (eg Reuters) Bank Data Base traders Volatilità, Correlazione, tradable Market Prices Fogli elettronici, Macro VBA, Matlab, DLL P&L Market-Making, Position-taking, Book-Running

Market Making Andrea Gigli, Interest Rate Derivatives Desk Market Making

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Strumenti OTC Andrea Gigli, Interest Rate Derivatives Desk

[object Object],[object Object],[object Object],[object Object],[object Object],Caratteristiche della contrattazione OTC Andrea Gigli, Interest Rate Derivatives Desk

Swaps ,[object Object],Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object], t 0 t 1 t 2 t n t n-1  K-  F(t 0 , t 0 ,  )  K-  F(t 1 , t 1 ,  )  K-  F(t n-1 , t n-1 ,  )

[object Object],Andrea Gigli, Interest Rate Derivatives Desk Swaps

Swaps Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],ovvero Si dimostra che il valore di un Payer swap con tasso fisso K è ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Andrea Gigli, Interest Rate Derivatives Desk Swaps

Caplet & Floorlet’s ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],t +  t t Accrual Period t -  Data di Fixing

Caplet & Floorlet’s Andrea Gigli, Interest Rate Derivatives Desk ed il suo prezzo in t è ,[object Object],ed il suo prezzo in t è ,[object Object],[object Object]

Caplet & Floorlet’s ,[object Object],Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object]

Cap & Floor’s ,[object Object],Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object], t 0 t 1 t 2 t n t n-1 t 0 = t +   <  t 0 +  t 0 + 2  t 0 + (n-1)  t 0 + n 

Cap & Floor’s Pricing ,[object Object],[object Object],[object Object],[object Object],[object Object],Andrea Gigli, Interest Rate Derivatives Desk ,[object Object]

Cap & Floor’s Flat Vols Andrea Gigli, Interest Rate Derivatives Desk

Swaption Andrea Gigli, Interest Rate Derivatives Desk Definizione di una Payer (Receiver) Swaption . Il compratore di una Payer (Receiver) ha il diritto di entrare in un Payer (Receiver) Swap alla scadenza t = T 0 ,[object Object],[object Object],[object Object],Payer Payout . Il compratore avra’ convenienza ad entrare nello swap in T 0 sse il tasso swap in T 0 è maggiore di K

Swaption ,[object Object],Andrea Gigli, Interest Rate Derivatives Desk ,[object Object]

Swaption Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object]

Swaption Pricing ,[object Object],[object Object],[object Object],[object Object],[object Object],Andrea Gigli, Interest Rate Derivatives Desk

ATM Swaption Vol Andrea Gigli, Interest Rate Derivatives Desk

Swaption Smile Andrea Gigli, Interest Rate Derivatives Desk

Digital Cap & Floor’s ,[object Object],[object Object],Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object]

Strutturazione Andrea Gigli, Interest Rate Derivatives Desk Strutturazione

Strutturazione Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Strutturazione: Motivazione ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Andrea Gigli, Interest Rate Derivatives Desk

Math’s for Structuring Andrea Gigli, Interest Rate Derivatives Desk

Strutturazione Andrea Gigli, Interest Rate Derivatives Desk Strutturazione per Asset Management

Bond Basics Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Bond Pricing e Bond-Swap Relation Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object]

Esempio di Payout strutturato Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object]

Strutturati per Asset Management ,[object Object],[object Object],[object Object],[object Object],Andrea Gigli, Interest Rate Derivatives Desk

Andrea Gigli, Interest Rate Derivatives Desk Emissione di Bond Strutturati ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Andrea Gigli, Interest Rate Derivatives Desk Structuring Process Investitore Nozionale Cedola Euribor + Spread Cedola

Andrea Gigli, Interest Rate Derivatives Desk Structuring Process Investitore cash bond Risks

Strutturati per Asset Management ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Andrea Gigli, Interest Rate Derivatives Desk

Callable Bond Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object]

Callable Bond Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],yield P yield P 100

Capped/Collared Bond ,[object Object],Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],Payout di uno short caplet ,[object Object]

Capped/Collared Bond ,[object Object],Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],Payout di uno short caplet Payout di un long floorlet ,[object Object]

CMS Bond Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],Payout di un “long caplet su CMS” ,[object Object],[object Object],[object Object]

CMS Spread Bond Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],Payout di un “long caplet su CMS spread” ,[object Object],[object Object],[object Object]

Accrual Bond Andrea Gigli, Interest Rate Derivatives Desk Un Accrual Bond su Euribor 6m paga una cedola pari a ,[object Object],[object Object],[object Object],[object Object],[object Object],t 0 t 1 t 2 t n t n-1 t

Accrual Bond Andrea Gigli, Interest Rate Derivatives Desk Fixed Coupon Accrual Bond . Assumiamo un nominale di 100 e che il bond paghi Il primo coupon paga ,[object Object],[object Object],[object Object],[object Object]

Inflation Linked Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Inflation Linked Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],Esistono due tipi di indicizzazioni per gli Inflation Linked Bond: In questo caso, il payout è replicabile con uno swap in cui si incassa l1% e con l’acquisto di un cap su strike 0%.

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Mercato Secondario

Strutturazione Andrea Gigli, Interest Rate Derivatives Desk Strutturazione per Liability Management

Strutturati per Liability Management Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Cap/Collar Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Collar e Collar D&I Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object]

Collar e Collar D&I Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object]

Cap Up & Out Andrea Gigli, Interest Rate Derivatives Desk ,[object Object],[object Object],[object Object],[object Object],[object Object],Anche in questo caso, le posizioni corte hanno lo scopo di ridurre il costo di acquisto dell acopertura

Presentazione GINTS 2006/2007

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