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jzhuangst · 2024年04月09日

重新定价法

NO.PZ2023020101000015

问题如下:

Mafadi Consulting Limited is a boutique financial services company located in Johannesburg, South Africa. Mafadi specializes in providing commodity and currency hedging solutions to institutional investors and corporations.

Andre Fourie is a senior client services consultant for Mafadi. He manages relationships with a number of institutions to assist with their hedging needs. One of Fourie’s client’s is Global Bullion, a mining and exploration company headquartered in the United States.

Mbali Ndlovu, a trader on Mafadi’s derivatives desk, works closely with Fourie to implement solutions for his clients. Fourie asks Ndlovu to review and calculate the value of a five-year ZAR20,000,000 swap into which Global Bullion entered two years ago. It is a receive-fixed, Libor-based interest rate swap with annual resets (30/360 day count). The fixed rate in the swap contract established two years ago was 3%. Exhibit 1 estimates the present value factors.

Exhibit 1 Present Value Factors for Five-Year Swap

The value of Global Bullion’s swap contract is closest to:

选项:

A.

ZAR1,720,380.

B.

ZAR1,324,380.

C.

ZAR344,076.

解释:

Calculate the sum of PV = 0.9802 + 0.9560 + 0.9311 = 2.8673.

Calculate the fixed swap rate = (1 – 0.9311)/2.8673 = 0.0240.

Calculate swap value per ZAR = (0.0300 – 0.0240) *2.8673 = 0.0172.

Thus, total swap value = 0.01720 * ZAR20,000,000 = ZAR344,076.

记得课上是用float rate和fixed rate的对比,收到的float rate,减去支付的fixed rate,利率差乘以NP,再乘以折现因子。


但这道题是初始fixed rate,和新的fixed rate的比较,想问下这道题的解法,为什么是用初始swap rate减去新的swap rate,而不是新的swap rate减去初始swap rate,即(0.024-0.03)去得出最终的结果呢?

1 个答案
已采纳答案

pzqa35 · 2024年04月10日

嗨,爱思考的PZer你好:


这是利用重新定价法来求swap的value。在第一次签订的swap中是一个收固定、支付浮动的swap,所以利用重新定价法时,我们需要签一个头寸相反的swap来结束掉第一个swap,那也就是一个支付固定、收浮动的swap,浮动端会抵消,所以最终的利差就是第一个合约收到的固定利率减去第二个合约支付的固定利率。这个是要根据头寸来进行判断的,并不是固定的就是谁减去谁,所以还是应该从本质上理解重新定价法计算value的逻辑才能更好的做对题目哈。

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