July 2011
Intermediate to advanced
562 pages
16h
French
Content preview from L'essentiel des marchés financiers
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Chapitre 32
Calcul d’un taux forward-forward (terme-terme)
Appliquons maintenant la méthodologie de pricing à un calcul de taux forward-forward.
Supposons que la banque accorde à un client un prêt 3-9 (prêt de 6 mois démarrant dans 3 mois, et se terminant donc dans 9 mois).
Les flux avec le client (côté banque) sont présentés dans la figure 32.1.
Figure 32.1 – Échéancier 4
Les flux avec le client correspondant à cette opération de forward-forward sont donc : 100 millions d’euros de principal et un montant IFwd-Fwd d’intérêts à calculer.
Selon la méthodologie de pricing présentée plus haut, il s’agit de couvrir parfaitement ...
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