NO.PZ2023020101000015
问题如下：
Mafadi Consulting Limited is a boutique
financial services company located in Johannesburg, South Africa. Mafadi
specializes in providing commodity and currency hedging solutions to
institutional investors and corporations.
Andre Fourie is a senior client services
consultant for Mafadi. He manages relationships with a number of institutions
to assist with their hedging needs. One of Fourie’s client’s is Global Bullion,
a mining and exploration company headquartered in the United States.
Mbali Ndlovu, a trader on Mafadi’s
derivatives desk, works closely with Fourie to implement solutions for his
clients. Fourie asks Ndlovu to review and calculate the value of a five-year
ZAR20,000,000 swap into which Global Bullion entered two years ago. It is a
receive-fixed, Libor-based interest rate swap with annual resets (30/360 day
count). The fixed rate in the swap contract established two years ago was 3%.
Exhibit 1 estimates the present value factors.
Exhibit
1 Present Value Factors for Five-Year
Swap
The value of Global Bullion’s swap
contract is closest to:
选项：
A.ZAR1,720,380.
B.ZAR1,324,380.
C.
ZAR344,076.
解释：
Calculate the sum of PV = 0.9802 + 0.9560
+ 0.9311 = 2.8673.
Calculate the fixed swap rate = (1 –
0.9311)/2.8673 = 0.0240.
Calculate swap value per ZAR = (0.0300 –
0.0240) *2.8673 = 0.0172.
Thus, total swap value = 0.01720 *
ZAR20,000,000 = ZAR344,076.
向上的value
C（0.9802+0.9860+0.9311）+NP*0.9311
向下的value
NP
其中向上value中的C的计算
C/NP*360/360=3%
C=3%*NP
向上的value = 3%*NP*2.8673 + NP*0.9311 = 1.017119 *NP
向下value = NP
（1.017119NP - NP) = 342,380
这个数字和答案的344000还是有差距，问题在哪里呢？
