NO.PZ2023041003000027
问题如下：
The meeting is with KPS Financial Services, a US
based asset manager. KPS wants to increase the equity exposure to the US market
in one of its portfolios by $100,000,000. Whitney advises KPS to enter into a
one-year equity swap with quarterly payments to receive the return on a US
stock index and pay a floating Libor interest rate. The current value of the US
stock index is 925.
Exhibit 1
Current Term Structure of Rates (%)
Ninety days have passed since the
meetings, Whitney
has obtained updated interest rate data that is presented in Exhibit 2. In
addition, and the US stock index is at 905.
Exhibit 2 Term Structure of Rates 90 Days
Later (%)
The equity swap cash flow for KPS Financial Services’
at 90 days is closest to:
选项：
A.–$1,807,200.
–$2,232,400.
–$2,517,200.
解释：
CKPS has entered into a swap to receive the
equity index return and pay floating Libor. The swap cash flow for a
receive-equity, pay-floating is
NA(Equity return – Floating rate)
Return on the equity index = (905 – 925)/925 =
–0.021622
The first floating payment is made quarterly.
Using a 30/360 day count, we have (0.0142 × 90/360) = 0.003550.
Cash flow from the swap = (–0.021622 – 0.00355)
× $100,000,000 = –$2,517,200
为啥90天的libor要用1.42？而不是2.21%
