NO.PZ2019052801000049
问题如下:
A bank entered into a swap with two years to maturity as a floating rate payer. The fixed rate is 4%, with annal payments. The notional priciple is $5,000,000. The spot interest rates are as follows: one year, 3.5%; two years, 4.5%. Today is the reset day, the current value of the swap is closest to:
选项:
A.
$54,437.
B.
$-54,437.
C.
-$30,125.
D.
$30,125.
解释:
B is correct.
考点:利率互换估值.
解析:
支浮动的一方可以看作一个浮动利率债券,浮动利率债券在reset day 价值回归面值。
收固定的一方可以看作一个固定利率债券,
为什么前面的题不用折现,这个就又得折现了