计算浮动利率债卷的value

NO.PZ2016082402000065 问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher. how to calculate the 18.75?

NO.PZ2016082402000065问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher.这个公式是基础课哪里的知识点

NO.PZ2016082402000065问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher.只用画两年现金流就可以了吗

NO.PZ2016082402000065问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher.第三年是250*(8.5%-7.5)折现率用7.5%？