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cmm231 · 2024年04月11日

关于方向判断

  1. CFA II
  2. Derivative

NO.PZ2019010402000061

问题如下：

Suppose one year ago we entered a€200,000,000 three-year receive-fixed Libor-based interest rate swap withsemi-annual resets (30/360 day count). The fixed rate in the swap contractentered one year ago was 4.5%. The value for the party receiving the fixed rateis:

选项：

A.- €648,079.61

B.

€648,079.61

C.

- €548,068.57

解释：

B is correct

本题考察的是利率互换求value。

先求出在t=1时刻的互换的固定利率：

∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233

fixed swap rate = (1- 0.917431) / 3.812233=2.1659%

annulized: 2.1659% * 360/180 = 4.3318%

然后计算value，对于fixed receiver：

V= (0.045 - 0.0433)×(180/360)×3.812233×200,000,000 = €648,079.61

请问如何判断正负? 我理解是作为fixed receiver 一年前定价4.5相当于收到4.5,现在重新定价4.33 ，收到少了，所以是亏了，请问哪里不对呢？

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1 个答案

pzqa35 · 2024年04月12日

嗨，从没放弃的小努力你好：


作为fixed receiver，那就是pay fixed，receive floating，使用重新定价法就是签一份反向头寸，平仓掉原来的合约，也就是pay floating，receive fixed，浮动端会抵消，只留一开始收到的固定端0.045，和新合约需要支付的固定端0.0433，最终用收到减去支付的就是利差。

也可以这样理解，作为fixed receiver，我因为一开始签了swap，所以现在可以收到0.045的利率，如果没有签一开始的合约，现在的市场就只能收0.0433的固定，所以一开始的合约是盈利了的。

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加油吧，让我们一起遇见更好的自己！

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