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CC · 2023年08月31日

固换浮 定价

  1. CFA II
  2. Derivative

NO.PZ2023020101000012

问题如下：

Meredith Whitney is a senior consultant in the Swaps Advisory Group of DCM Capital, an independent advisory firm. Whitney will be preparing to meet with three clients who need advice on structuring and implementing a swap program to manage their interest rate exposures. She is assisted by a junior analyst from the fixed income group, Toni Yang.

For her meetings, Whitney plans to use the data presented in Exhibit 1 below.

Exhibit 1 Current Term Structure of Rates (%)

Note: Libor is the London Interbank Offered Rate. Euribor is the Euro Interbank Offered Rate. Hibor is the Hong Kong Interbank Offered Rate. All rates shown are annualized.

Whitney’s first meeting is with Novatel, a US based company that currently has an outstanding loan of $250,000,000 that carries a 5.15% fixed interest rate. Novatel’s managers feel that the current interest rate on the loan is high and they also believe that interest rates are poised to decline. Whitney advises Novatel to enter into a one-year pay-floating Libor receive-fixed interest rate swap with quarterly payments. The notional principal on the swap will be $250,000,000. Whitney’s first task is to determine the appropriate swap rate.

Using data in Exhibit 1 and a 30/360 day count, the annualized fixed rate of the swap recommended by Whitney for Novatel is closest to：

选项：

A.

2.22%.

B.

3.36%.

C.

5.15%.

解释：

The appropriate present value factors are provided below:

For example, PV(90) is calculated as follows:

Other present value factors are calculated in a similar manner.

The fixed rate is calculated as follows:

rFIX=1.0−PV0,tn(1)∑i=1nPV0,tn(1)=1.0−0.9669310.996463+0.990884+0.984349+0.966931=0.008396r_{FIX}=\frac{1.0-PV_{0,t_n}(1)}{\sum_{i=1}^nPV_{0,t_n}(1)}=\frac{1.0-0.966931}{0.996463+0.990884+0.984349+0.966931}=0.008396

The annualized rate =0.008396×360/90=0.033584.

老师，这道题为什么选了LIBOR？ 我看原文说是美国公司，Whitney’s first meeting is with Novatel, a US based company

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1 个答案

李坏_品职助教 · 2023年09月02日

嗨，努力学习的PZer你好：


LIBOR是全球通用的浮动利率基准，欧洲大陆、英国、日本、美国都通用的。

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加油吧，让我们一起遇见更好的自己！

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