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程冠林 · 2024年01月14日

equity swap receiving float or fix?

  1. CFA III
  2. Derivative

NO.PZ2022123002000043

问题如下：

The CEO of a corporation owns 100 million shares of his company’s stock, which is currently priced at €30 a share. Given the huge exposure of his personal wealth to this one company, he has decided to sell 10% of his position and invest the funds in a floating interest rate instrument. A derivatives dealer suggests that he do so using an equity swap.

Explain how to structure such a swap.

选项：

解释：

Correct Answer：

The swap is structured such that the executive pays the return on 10 million shares of the company’s stock, which is 10% of his holdings, and he receives the return based on a floating interest rate, such as the market reference rate, on a notional principal of €300 million (= €30/share × 10 million shares).

讲义里写的fix，答案给的float。

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1 个答案

pzqa31 · 2024年01月15日

嗨，努力学习的PZer你好：


同学，讲义哪里呢？能贴下具体内容吗？

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

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