最后一期为什么本金不一起折现？

NO.PZ2016082402000064

问题如下：

Bank XYZ enters into a five-year swap contract with ABC Co. to pay LIBOR in return for a fixed 8% rate on a principal of $100 million. Two years from now, the market rate on three-year swaps at LIBOR is 7%. At this time ABC Co. declares bankruptcy and defaults on its swap obligation. Assume that the net payment is made only at the end of each year for the swap contract period. What is the market value of the loss incurred by Bank XYZ as a result of the default?

选项：

$1.927 million

$2.245 million

$2.624 million

$3.011 million

解释：

ANSWER: C

Using Equation: $V=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}$ for three remaining periods, we have the discounted value of the net interest payment, or $\;{(8\%-7\%)}\times\$100m=\$1m$ discounted at 7%, which is $934,579+$873,439+$816,298 = $2,624,316.

101/1.07^3

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品职答疑小助手雍 · 2023年03月08日

同学你好，这题解析里求的过程相当于是现金流的差值，而利率互换不交换本金，所以不需要用期末本金折现。

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NO.PZ2016082402000064 问题如下 Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault? A.$1.927 million B.$2.245 million C.$2.624 million $3.011 million ANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑ini(1+Ri)τiFi−K for three remaining perio, we have the scountevalue of the net interest payment, or (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316. use libor to scount, why not use the sigle scount rate? i rember ththe Libor is the single scount , so is 1+1.07 , an1+7%^2

2023-09-21 13:15 2 · 回答

NO.PZ2016082402000064问题如下 Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault?A.$1.927 millionB.$2.245 millionC.$2.624 million$3.011 millionANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑ini(1+Ri)τiFi−K for three remaining perio, we have the scountevalue of the net interest payment, or (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316.这道题可以画图解吗？为什么每次loss1%两年不应该就是20million吗

2023-04-03 10:13 1 · 回答

NO.PZ2016082402000064 老师，我是按照收到8%固定利率支出7%LIBOR来做的，虽然题目中说了ABC公司在第二年末违约了，但是从计算的角度来看违约产生的loss体现在哪里了呢？

2022-03-13 22:57 1 · 回答

NO.PZ2016082402000064 看了之前老师的回复，关于为何使用7%而不是8%，老师说是8%是过去了。那如果是过去，那为何将来fault不能兑换的3年，还要用8%计算profit？感谢回答。

2022-03-09 01:16 1 · 回答

最后一期为什么本金不一起折现？

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