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jvniki · 2023年05月28日

能给画个图解释下么,有点懵

NO.PZ2021061002000052

问题如下:

QWR is a financial intermediary active in both futures and forward markets. At time t = 0, QWR observes the following zero rates over three periods:


About the three-period par swap rate (S3), Which of the following descriptions is correct?

选项:

A.

Because the swap rate represents the fixed rate at which the present value of fixed and future cash flows equal one another, we can first use zero rates to solve for the implied forward rate per period, then discount each implied forward rate back to the present using zero rates, and solve for s3 to get 3.46%.

B.

Because the swap rate represents the fixed rate at which the present value of fixed and future cash flows equal one another, we can use zero rates to discount each zero rate back to the present, and solve for s3 to get 3.02%.

C.

Because the swap rate represents the fixed rate at which the present value of fixed and future cash flows equal one another, we can first use zero rates to solve for the implied forward rate per period, then discount each zero rate back to the present using implied forward rates, and solve for s3 to get 3.99%

解释:

中文解析

本题考察的实际是“脱靴(bootstrapping)”的过程。

具体计算如下:

先根据下面的公式计算出:

IFR0,1 = 2.52%, IFR1,1 = 3.56%, and IFR2,1 = 4.43%


然后再按照下面的公式计算S3:



最终得到S3 =3.46%,选A。

能给画个图解释下么,有点懵

1 个答案

pzqa27 · 2023年05月29日

嗨,努力学习的PZer你好:


这个题经典题中李老师有详细的讲解,同学可以查看下module 5的经典题,大致视频位置如下图。如果观后有疑问,我们再继续讨论

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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