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明明要加油 · 2023年10月01日

这道题是不是错了

  1. CFA II
  2. Derivative

NO.PZ2023020101000016

问题如下：

Mehta, who is based in Hong Kong SAR and requires a €25,000,000 one-year bridge loan to fund operations in Germany. He wants to fund this loan at a competitive rate. Riley advises Mehta to borrow in HK dollars and enter into a one-year foreign currency swap to swap into euros. The current exchange rate is HK$9.15 per euro. Exhibit 1 below provides Hong Kong and euro spot interest rates and present value factors.

Exhibit 1: Hong Kong and Euro Spot Interest Rates

Based on the information in Exhibit 1, the annual fixed swap rate Mehta would pay is closest to：

选项：

A.

0.48%.

B.

0.92%.

C.

1.88%.

解释：

PV factors for HK dollar are provided along with an explanation of how they are calculated:

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

11+0.0061∗90360=0.9985\frac1{1+0.0061\ast\frac{90}{360}}=0.9985

Other present value factors are calculated in a similar manner.

The fixed rate is calculated as follows:

1.0−0.99070.9985+0.9962+0.9937+0.9907=0.0023\frac{1.0-0.9907}{0.9985+0.9962+0.9937+0.9907}=0.0023

The annualized rate = 0.0023 × 4 = 0.0092.

应该是支付欧元啊，应该使用欧元的折现因子来算，为啥答案用的是港币呢？

最后答案应该是0.47%吧？

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1 个答案

pzqa35 · 2023年10月03日

嗨，爱思考的PZer你好：


此题是货币互换的定价。根据题目来看M是先借入HK dollar，再进入一个收HK，支付欧元的swap，所以M最终pay的应该是欧元，最终的fixed rate=(1-0.9953)/(09991+0.9979+0.9967+0.9953)=0.1178%, swap rate=0.1178%*4=0.4712%,同学的理解是对的，这道题确实存在问题，我们已经在后台做了勘误。同学能够发现这个问题，证明同学对于此知识点的掌握是非常扎实的哦，非常棒！

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努力的时光都是限量版，加油！

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