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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

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努力的时光都是限量版,加油!

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