FRM中的swap，究竟有几个意思？

很多FRM考生搞不清楚swap，因为它有两个翻译，关于掉期和互换，究竟有哪些区别？跟着高顿网校FRM小编来了解一下。

掉期和互换，英文都是swap。对于swap，wiki的解释是：

In finance, a swap is a derivative in which counterparties exchange certain benefits of one party's financial instrument for those of the other party's financial instrument. The benefits in question depend on the type of financial instruments involved. For example, in the case of a swap involving two bonds, the benefits in question can be the periodic interest (or coupon) payments associated with the bonds. Specifically, the two counterparties agree to exchange one stream of cash flows against another stream. These streams are called the legs of the swap. The swap agreement defines the dates when the cash flows are to be paid and the way they are calculated.[1] Usually at the time when the contract is initiated at least one of these series of cash flows is determined by a random or uncertain variable such as an interest rate, foreign exchange rate, equity price or commodity price.[1]

The cash flows are calculated over a notional principal amount, which is usually not exchanged between counterparties. Consequently, swaps can be in cash or collateral.

Swaps can be used to hedge certain risks such as interest rate risk, or to speculate on changes in the expected direction of underlying prices.

简单说，swap就是双方对金融资产及收益权的交换。

swap的应用很广泛，wiki给出的种类有：

Interest rate swaps

Currency swaps

Commodity swaps

Equit swap

Credit default swaps

Other variations (Total return swap, Swaption, Variance swap, Amortising swap)

掉期和互换可能存在差异在外汇领域，主要是Currecy swap和Forex swap。wiki的解释是：

A currency swap is a foreign-exchange agreement between two parties to exchange aspects (namely the principal and/or interest payments) of a loan in one currency for equivalent aspects of an equal in net present value loan in another currency; see Foreign exchange derivative. Currency swaps are motivated by comparative advantage.[1] A currency swap should be distinguished from a central bank liquidity swap.

In finance, a forex swap (or FX swap) is a simultaneous purchase and sale of identical amounts of one currency for another with two different value dates (normally spot to forward).; see Foreign exchange derivative.

按照我的理解，外汇领域中的互换指的是currecy swap，掉期指的是FX swap。互换是两家机构之间对不同货币本金和利息都进行交换的交易；而掉期是一家机构同时买进和卖出金额相同的远期合同，两个远期合同的日期不一样（通常是现货买进期货卖出或者现货卖出期货买进），交易对手是不是同一个人，并不能从wiki的解释清楚看出。如更透彻的理解，需要知道两种swap的结构。wiki的解释是：

Currency swaps are over-the-counter derivatives, and are closely related to interest rate swaps. However, unlike interest rate swaps, currency swaps can involve the exchange of the principal.

There are three different ways in which currency swaps can exchange loans:

The most simple currency swap structure is to exchange the principal only with the counterparty, at a rate agreed now, at some specified point in the future. Such an agreement performs a function equivalent to a forward contract or futures. The cost of finding a counterparty (either directly or through an intermediary), and drawing up an agreement with them, makes swaps more expensive than alternative derivatives (and thus rarely used) as a method to fix shorter term forward exchange rates. However for the longer term future, commonly up to 10 years, where spreads are wider for alternative derivatives, principal-only currency swaps are often used as a cost-effective way to fix forward rates. This type of currency swap is also known as an FX-swap.

Another currency swap structure is to combine the exchange of loan principal, as above, with an interest rate swap. In such a swap, interest cash flows are not netted before they are paid to the counterparty (as they would be in a vanilla interest rate swap) because they are denominated in different currencies. As each party effectively borrows on the other's behalf, this type of swap is also known as a back-to-back loan.

Last here, but certainly not least important, is to swap only interest payment cash flows on loans of the same size and term. Again, as this is a currency swap, the exchanged cash flows are in different denominations and so are not netted. An example of such a swap is the exchange of fixed-rate US Dollar interest payments for floating-rate interest payments in Euro. This type of swap is also known as a cross-currency interest rate swap, or cross-currency swap.

A forex swap consists of two legs:

a spot foreign exchange transaction, and

a forward foreign exchange transaction.

These two legs are executed simultaneously for the same quantity, and therefore offset each other.

It is also common to trade forward-forward, where both transactions are for (different) forward dates.

至此，两个概念完全清楚了，结论如下：

1. 仅对于swap这个单词，掉期=互换；

2. 除外汇领域，其他类型swap，如interest rate swap，既可翻译为利率掉期，也可翻译为利率互换，没有区别；

3. 外汇领域，我认为更好的翻译方式是，把currecy swap翻译为货币互换，把FX swap翻译为外汇掉期；

4. 之说以有掉期和互换这两种不同的翻译，原因在于FX swap的结构可以套期保值；而currency swap是参与双方本着自身需求和利益进行标的交换。

文章来源：http://blog.sina.com.cn/s/blog_55cbe2490100mkvp.html