Angela Zzz · 2022年07月23日
NO.PZ2019010402000060
问题如下：
The two-year Libor-based interest rate swap
with semi-annual resets (30/360 day count). Based on the following information,
the fixed rate of the swap is:
选项：
A.2.4735%
2.1659%
4.3318%
解释：
C is correct
本题考察的是对利率互换进行定价。
fixed swap rate = (1- 0.917431) / 3.812233=2.1659%
annulized: 2.1659% * 360/180 = 4.3318%
比如说题干里720 days to maturity 的LIBOR 4.5%，如何计算得出DF=0.917431？
NO.PZ2019010402000060 问题如下 The two-yeLibor-baseinterest rate swapwith semi-annuresets (30/360 y count). Baseon the following information,the fixerate of the swis: A.2.4735% B.2.1659% C.4.3318% C is correct本题考察的是对利率互换进行定价。∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233fixeswrate = (1- 0.917431) / 3.812233=2.1659%annulize 2.1659% * 360/180 = 4.3318% 简单来说就是老师能不能再一下公式
NO.PZ2019010402000060 问题如下 The two-yeLibor-baseinterest rate swapwith semi-annuresets (30/360 y count). Baseon the following information,the fixerate of the swis: A.2.4735% B.2.1659% C.4.3318% C is correct本题考察的是对利率互换进行定价。∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233fixeswrate = (1- 0.917431) / 3.812233=2.1659%annulize 2.1659% * 360/180 = 4.3318% 老师，这道题最后让求的就写了Fixerate 如何判断要不要年化？
NO.PZ2019010402000060 问题如下 The two-yeLibor-baseinterest rate swapwith semi-annuresets (30/360 y count). Baseon the following information,the fixerate of the swis: A.2.4735% B.2.1659% C.4.3318% C is correct本题考察的是对利率互换进行定价。∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233fixeswrate = (1- 0.917431) / 3.812233=2.1659%annulize 2.1659% * 360/180 = 4.3318% 1:题干表格说ys to maturity直译应该是到期的时间，那么720ys是指到maturity还有720天，所以应该不应该对应的是0时点的折现因子吗/2就算不按照我之前的理解，那按理说站在180时点定的是180 to 360这个时间的floating rate，那180那行对应的折现因子应该是B2吧？
NO.PZ2019010402000060 2.1659% 4.3318% C is corre本题考察的是对利率互换进行定价。 ∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233 fixeswrate = (1- 0.917431) / 3.812233=2.1659% annulize 2.1659% * 360/180 = 4.3318% 算swap的fix rate什么时候需要还原年化，什么时候不需要年化。？
