开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

lion · 2023年04月03日

求解释

NO.PZ2016082402000065

问题如下:

A bank entered into a three-year interest rate swap for a notional amount of USD 250 million, paying a fixed rate of 7.5% and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded spot one-year and two-year LIBOR rates are 8% and 8.5%, respectively. The value of the swap at that time is closest to

选项:

A.

USD 14 million

B.

USD -6 million

C.

USD -14 million

D.

USD 6 million

解释:

ANSWER: D

This question differs from the previous one, which gave the swap rate. Here, we have the spot rates for maturities of one and two years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e1×8%+($250+$18.75)e2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million. Right after the reset, the value of the FRN is $250 million, leading to a gain of $6 million. This is a gain because the bank must pay a fixed rate but current rates are higher.

这个公式是基础课哪里的知识点

1 个答案

pzqa27 · 2023年04月03日

嗨,从没放弃的小努力你好:


这里考的是swap 价值的算法,swap估值一共2种算法,一种是债券法,把swap看成2个债券分别计算价值。另一种就是解析用到的FRA的方法,讲swap看成一系列的FRA,计算出每一期的net cash flow后再折现求和即可

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 236

    浏览
相关问题

NO.PZ2016082402000065问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher.在节点,浮动利率会回归面值。而之前在计算浮动利率债卷的value时,在节点的现金流除了面值,还有f(90)的现金流(比如每90天交换)。请问什么时候现金流只考虑面值,什么时候需要加上f(90)的现金流啊?

2024-02-26 21:28 1 · 回答

NO.PZ2016082402000065 问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher. how to calculate the 18.75?

2023-09-21 13:24 2 · 回答

NO.PZ2016082402000065问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher.只用画两年现金流就可以了吗

2023-03-07 10:42 1 · 回答

NO.PZ2016082402000065问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher.第三年是250*(8.5%-7.5)折现率用7.5%?

2023-03-01 14:16 1 · 回答