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上小学 · 2023年02月22日

Bid. 是买入浮动利率的价格，本题中客户需要付浮动收固定，因此为何是以3·2做互换呢？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000045

问题如下：

The quotes for a five-year interest rate swap are bid 3.20, ask 3.24. What swap would be entered by a company that can borrow for five years at 4.2% per year but wants to borrow at a floating rate? What rate of interest does the company end up borrowing at?

解释：

The company should arrange to receive fixed and pay floating to convert the fixed-rate loan to a floating-rate loan. It will accept the bid quote of 3.20. Its cash flows will be

• Receive 3.2%,

• Pay 4.2%, and

• Pay Libor.

These net to Libor plus 1 %.

客户应该是采用3。24

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1 个答案

pzqa27 · 2023年02月22日

嗨，从没放弃的小努力你好：


bid ask 都在站在做市商的角度说的，这个是金融界约定俗成没有道理可以讲的。所以站在做市商角度的bid 就是站在客户角度的ask，这个客户相当于要把固定利率卖出去，所以ask的价格就是做市商bid的价格3.2%

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JiangHan · 2023年04月24日

老师，我感觉这个解释反了，客户应该是想付浮动收固定，所以是想把浮动利率卖出，买入固定利率，所以对bank来说，是卖出，应该是ask price,对客户来说，是买入，应该是bid price, 所以为啥是3.2啊 不理解

JiangHan · 2023年04月24日

我懂啦老师 不用解释啦 我理解反了

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