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lcrcp3 · 2023年10月21日

如题

NO.PZ2019010402000009

问题如下:

A dealer entered into a three-year interest rate swap with annual payments one year ago as a floating receiver. The current equilibrium fixed swap rate is 1.4853% (one year after the swap was originally entered). The initial swap rate is 1.82% and notional principle is $100 million.The value of this swap is:

选项:

A.

-670,598

B.

656,338

C.

-656,338

解释:

C is correct.

考点:interest swap 求value

解析:

Present Value Factor 1 = 11+1%×360360=0.990099\frac1{1+1\%\times\frac{360}{360}}=0.990099

Present Value Factor 2 = 11+1.5%×720360=0.970874\frac1{1+1.5\%\times\frac{720}{360}}=0.970874

Ÿ投资者之前的合约是收浮动,付固定,现在进入反向合约,即收固定,付浮动。浮动端可以抵消,剩下的就是收新的固定利率,付之前合约中约定的swap rate。

Ÿ向上箭头:current equilibrium fixed swap rate,也就是以现在的市场条件签订一个到期日相同的合约的swap rate,它等于1.4853%。而且我们注意到,这是一个均衡的swap rate。Swap rate即固定利率,它可以看成是市场中浮动利率的打包价。所谓均衡就是说是无套利情况下计算出来的固定利率,即与interest swap rate的定价是一样的,就算题目没有告诉我们current equilibrium fixed swap rate,我们也能计算:

10.9708740.990099+0.970874=1.4853%\frac{1-0.970874}{0.990099+0.970874}=1.4853\%

Ÿ 每一期的差额=1.4853%-1.82%(最后一期的本金相互抵消),然后向前折现,折现因子已经求出,分别为0.990099和0.970874,所以:(1.4853%1.82%)×(0.990099+0.970874)×100,000,000=656,338(1.4853\%-1.82\%)\times(0.990099+0.970874)\times100,000,000=-656,338

V=NA(FS0-FSt)×ΣPVt,ti

这公式没问题吧?

FS0是1.82%,FSt是1.4853%没问题吧?

所以答案凭什么说是1.4853-1.82????明明应该是1.82-1.4853。

1 个答案

pzqa35 · 2023年10月23日

嗨,努力学习的PZer你好:


本题采用的是用重新定价法来求swap value。题目中的头寸是 floating receiver,即收浮动支固定的头寸。已知FS0=1.82%,同时根据题目已知条件我们可以求出

FSt=(1−0.970874)/(0.990099+0.970874)= 1.4853%。

这相当于我重新进入了一个反向对冲合约,合约是收固定、支浮动来结束我之前0时刻签订的swap,那么0时刻我每一期支付的固定利率是1.82%,在1年后也就是现在时刻,我新合约每一期收到的都是1.4853%的固定利率,收入减去支出的息差就是1.4853%-1.82%。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ2019010402000009问题如下 A aler entereinto a three-yeinterest rate swwith annupayments one yeago a floating receiver. The current equilibrium fixeswrate is 1.4853% (one yeafter the swworiginally entere. The initiswrate is 1.82% annotionprinciple is $100 million.The value of this swis: A.-670,598B.656,338C.-656,338 C is correct.考点interest sw求value解析Present Value Factor 1 = 11+1%×360360=0.990099\frac1{1+1\%\times\frac{360}{360}}=0.9900991+1%×360360​1​=0.990099 Present Value Factor 2 = 11+1.5%×720360=0.970874\frac1{1+1.5\%\times\frac{720}{360}}=0.9708741+1.5%×360720​1​=0.970874Ÿ投资者之前的合约是收浮动,付固定,现在进入反向合约,即收固定,付浮动。浮动端可以抵消,剩下的就是收新的固定利率,付之前合约中约定的swrate。Ÿ向上箭头current equilibrium fixeswrate,也就是以现在的市场条件签订一个到期日相同的合约的swrate,它等于1.4853%。而且我们注意到,这是一个均衡的swrate。Swrate即固定利率,它可以看成是市场中浮动利率的打包价。所谓均衡就是说是无套利情况下计算出来的固定利率,即与interest swrate的定价是一样的,就算题目没有告诉我们current equilibrium fixeswrate,我们也能计算 1−0.9708740.990099+0.970874=1.4853%\frac{1-0.970874}{0.990099+0.970874}=1.4853\%0.990099+0.9708741−0.970874​=1.4853%Ÿ 每一期的差额=1.4853%-1.82%(最后一期的本金相互抵消),然后向前折现,折现因子已经求出,分别为0.990099和0.970874,所以(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338(1.4853\%-1.82\%)\times(0.990099+0.970874)\times100,000,000=-656,338(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338 题干写的是收浮方,为啥说进入了反向合约。

2024-09-15 12:44 1 · 回答

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2024-08-21 23:04 1 · 回答

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2024-05-04 14:48 1 · 回答

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2024-04-14 11:30 1 · 回答

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2024-04-13 20:20 1 · 回答