开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

SHAO · 2023年11月15日

老师，请教方向

  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.

0.47%.

B.

0.92%.

C.

1.88%.

解释：

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

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

11+0.00372∗90360=0.9991\frac1{1+0.00372\ast\frac{90}{360}}=0.9991

Other present value factors are calculated in a similar manner.

The fixed rate is calculated as follows:

1.0−0.99530.9991+0.9979+0.9967+0.9953=0.001178\frac{1.0-0.9953}{0.9991+0.9979+0.9967+0.9953}=0.001178

The annualized rate = 0.001178 × 4 = 0.004712.

老师，请问 borrow in HK dollars不是借入港元的意思吗？借港元，中间应该支付港元利息呀，为什么这道题用欧元呢

添加评论
2 个答案
已采纳答案

李坏_品职助教 · 2023年11月15日

嗨，从没放弃的小努力你好：


题目原话完整表述是： borrow in HK dollars and enter into a one-year foreign currency swap to swap into euros，就是说这个Mehta先自行借入HKD，然后进入一个swap，把这些HKD的债务转换成EUR债务。


翻译过来就是：Mehta先借入HK dollar（这笔借款与swap无关）。再进入一个“收HK，支付欧元”的swap，所以在Swap里面，Mehta 支付的应该是欧元。



----------------------------------------------
努力的时光都是限量版，加油！

Jimmy_zyyy2 · 2024年02月13日

没懂这里面的逻辑，为什么swap是“收HK，支付欧元”的啊。能不能再讲的详细一些。

李坏_品职助教 · 2024年02月13日

嗨，努力学习的PZer你好：


borrow in HK dollars and enter into a one-year foreign currency swap to swap into euros，这句话的意思是，先借入一笔HKD，然后又进入一个swap交易（这个swap和前面的borrow in HKD是分开的两笔交易）。目的是利用这个swap来把前面HKD的债务转化为EUR的债务。


本来借入HKD就是要还HKD的，但是利用swap将“支付HKD”转化为“支付EUR”，要想实现这个目的，那么swap必然是收取HKD、支付EUR。


----------------------------------------------
努力的时光都是限量版，加油！

  • 2

    回答

  • 0

    关注

  • 5830

    浏览
相关问题

NO.PZ2023020101000016 问题如下 Mehtwho is basein Hong Kong Sanequires a €25,000,000 one-yebrie loto funoperations in Germany. Hewants to funthis loa competitive rate. Riley aises Mehta to borrow inHK llars anenter into a one-yeforeign currenswto swinto euros.The current exchange rate is HK$9.15 per euro. Exhibit 1 below provis HongKong aneuro spot interest rates anpresent value factors.Exhibit1: Hong Kong anEuro Spot Interest RatesBaseon the information in Exhibit 1, theannufixeswrate Mehta woulpis closestto A.0.47%. B.0.92%. C.1.88%. PVfactors for Euro are provialong with explanation of how they arecalculateForexample, PV(90) is calculatefollows:11+0.00372∗90360=0.9991\frac1{1+0.00372\ast\frac{90}{360}}=0.99911+0.00372∗36090​1​=0.9991 Otherpresent value factors are calculatein a similmanner. Thefixerate is calculatefollows:1.0−0.99530.9991+0.9979+0.9967+0.9953=0.001178\frac{1.0-0.9953}{0.9991+0.9979+0.9967+0.9953}=0.0011780.9991+0.9979+0.9967+0.99531.0−0.9953​=0.001178 Theannualizerate = 0.001178 × 4 = 0.004712. Mehta to borrow in HK llars anenter into a one-yeforeign currenswto swinto euros，不是说了借入的是港币吗？借入港币不是换了欧元，然后支付港币利息吗？

2024-08-21 22:45 1 · 回答

NO.PZ2023020101000016 问题如下 Mehtwho is basein Hong Kong Sanequires a €25,000,000 one-yebrie loto funoperations in Germany. Hewants to funthis loa competitive rate. Riley aises Mehta to borrow inHK llars anenter into a one-yeforeign currenswto swinto euros.The current exchange rate is HK$9.15 per euro. Exhibit 1 below provis HongKong aneuro spot interest rates anpresent value factors.Exhibit1: Hong Kong anEuro Spot Interest RatesBaseon the information in Exhibit 1, theannufixeswrate Mehta woulpis closestto A.0.47%. B.0.92%. C.1.88%. PVfactors for Euro are provialong with explanation of how they arecalculateForexample, PV(90) is calculatefollows:11+0.00372∗90360=0.9991\frac1{1+0.00372\ast\frac{90}{360}}=0.99911+0.00372∗36090​1​=0.9991 Otherpresent value factors are calculatein a similmanner. Thefixerate is calculatefollows:1.0−0.99530.9991+0.9979+0.9967+0.9953=0.001178\frac{1.0-0.9953}{0.9991+0.9979+0.9967+0.9953}=0.0011780.9991+0.9979+0.9967+0.99531.0−0.9953​=0.001178 Theannualizerate = 0.001178 × 4 = 0.004712. 老师问题问的the annufixeswrate Mehta woulpis closest to意思就是计算Mehta支付的固定利率的货币的定价是么？该题是欧元和港币的兑换，Mehta要支付欧元利息，所以定价应该计算欧元的定价？

2024-08-06 23:42 1 · 回答

NO.PZ2023020101000016 问题如下 Mehtwho is basein Hong Kong Sanequires a €25,000,000 one-yebrie loto funoperations in Germany. Hewants to funthis loa competitive rate. Riley aises Mehta to borrow inHK llars anenter into a one-yeforeign currenswto swinto euros.The current exchange rate is HK$9.15 per euro. Exhibit 1 below provis HongKong aneuro spot interest rates anpresent value factors.Exhibit1: Hong Kong anEuro Spot Interest RatesBaseon the information in Exhibit 1, theannufixeswrate Mehta woulpis closestto A.0.47%. B.0.92%. C.1.88%. PVfactors for Euro are provialong with explanation of how they arecalculateForexample, PV(90) is calculatefollows:11+0.00372∗90360=0.9991\frac1{1+0.00372\ast\frac{90}{360}}=0.99911+0.00372∗36090​1​=0.9991 Otherpresent value factors are calculatein a similmanner. Thefixerate is calculatefollows:1.0−0.99530.9991+0.9979+0.9967+0.9953=0.001178\frac{1.0-0.9953}{0.9991+0.9979+0.9967+0.9953}=0.0011780.9991+0.9979+0.9967+0.99531.0−0.9953​=0.001178 Theannualizerate = 0.001178 × 4 = 0.004712. 老师，你好，我是这样做的，不知道为什么不对事件发生T0: borrow 25mn *9.15 HKfor EURO25mn;T1: return HK 25*9.15 *(1+0.0935%).Cash flow:1.我没有假设quarterly compounng，认为t=1是唯一现金流交换时间2.因为通过swap得到欧元，所以支付欧元；被支付港币floating ratet1: c = 25mn EURO * swratefloleg = 25mn * 9.15 * 0.935%在t1时候，EUR/HKSwback。那么 floleg scount to t0应该价格相等25mn EURO * swrate *0.9953 = 25mn * 9.15 * 0.935% * 0.9907所以swrate = 8.5%.....请问问题是哪里，而且为什么是quarterly compounng?

2024-07-15 15:48 1 · 回答

NO.PZ2023020101000016 问题如下 Mehtwho is basein Hong Kong Sanequires a €25,000,000 one-yebrie loto funoperations in Germany. Hewants to funthis loa competitive rate. Riley aises Mehta to borrow inHK llars anenter into a one-yeforeign currenswto swinto euros.The current exchange rate is HK$9.15 per euro. Exhibit 1 below provis HongKong aneuro spot interest rates anpresent value factors.Exhibit1: Hong Kong anEuro Spot Interest RatesBaseon the information in Exhibit 1, theannufixeswrate Mehta woulpis closestto A.0.47%. B.0.92%. C.1.88%. PVfactors for Euro are provialong with explanation of how they arecalculateForexample, PV(90) is calculatefollows:11+0.00372∗90360=0.9991\frac1{1+0.00372\ast\frac{90}{360}}=0.99911+0.00372∗36090​1​=0.9991 Otherpresent value factors are calculatein a similmanner. Thefixerate is calculatefollows:1.0−0.99530.9991+0.9979+0.9967+0.9953=0.001178\frac{1.0-0.9953}{0.9991+0.9979+0.9967+0.9953}=0.0011780.9991+0.9979+0.9967+0.99531.0−0.9953​=0.001178 Theannualizerate = 0.001178 × 4 = 0.004712. 老师，货币互换定价时不需要考虑本金吗？

2024-07-01 15:34 1 · 回答

NO.PZ2023020101000016 问题如下 Mehtwho is basein Hong Kong Sanequires a €25,000,000 one-yebrie loto funoperations in Germany. Hewants to funthis loa competitive rate. Riley aises Mehta to borrow inHK llars anenter into a one-yeforeign currenswto swinto euros.The current exchange rate is HK$9.15 per euro. Exhibit 1 below provis HongKong aneuro spot interest rates anpresent value factors.Exhibit1: Hong Kong anEuro Spot Interest RatesBaseon the information in Exhibit 1, theannufixeswrate Mehta woulpis closestto A.0.47%. B.0.92%. C.1.88%. PVfactors for Euro are provialong with explanation of how they arecalculateForexample, PV(90) is calculatefollows:11+0.00372∗90360=0.9991\frac1{1+0.00372\ast\frac{90}{360}}=0.99911+0.00372∗36090​1​=0.9991 Otherpresent value factors are calculatein a similmanner. Thefixerate is calculatefollows:1.0−0.99530.9991+0.9979+0.9967+0.9953=0.001178\frac{1.0-0.9953}{0.9991+0.9979+0.9967+0.9953}=0.0011780.9991+0.9979+0.9967+0.99531.0−0.9953​=0.001178 Theannualizerate = 0.001178 × 4 = 0.004712. 这个方向怎么判断的，可以讲详细一点吗

2024-05-08 07:09 2 · 回答