NO.PZ2023041003000023
问题如下：
Doyle asks Kemper to price
a one-year plain vanilla swap. The spot rates and days to maturity at each
payment date are presented in Exhibit 1.
Exhibit 1 Selected US Spot Rate Data
Based
on Exhibit 1, the fixed rate of the one-year plain vanilla swap is closest
to:
选项：
A.0.12%.
0.54%.
0.72%.
解释：
The swap’s fixed
rate is calculated as
90 − day PV factor
= 1/[1 + 0.019 × (90/360)] = 0.9953.
180 − day PV factor
= 1/[1 + 0.020 × (180/360)] = 0.9901
270 − day PV
factor = 1/[1 + 0.021 × (270/360)] = 0.9845.
360 − day PV
factor = 1/[1 + 0.022 × (360/360)] = 0.9785.
rFIX =
(1 − 0.9785)/3.9484 = 0.0054 = 0.54%.
这个算出来的fix rate是一个季度的吧，题目怎么问需要乘于4，怎么问不用乘于4
