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eva · 2024年04月26日

不明白

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000160

问题如下：

Consider a $1 million notional swap that pays a floating rate based on 6-month LIBOR and receives a 6% fixed rate semiannually. The swap has a remaining life of 15 months with pay dates at 3, 9 and 15 months. Spot LIBOR rates are as following: 3 months at 5.4%; 9 months at 5.6%; and 15 months at 5.8%. The LIBOR at the last payment date was 5.0%. Calculate the value of the swap to the fixed-rate receiver using the bond methodology.

选项：

A.

$6,077

B.

-$6,077

C.

-$5,077

D.

$5,077

解释：


为什么固定要3，6，9，15个月折現去0时刻，但浮动只用3个月折？6，9，15不用折吗？

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1 个答案

pzqa39 · 2024年04月26日

嗨，努力学习的PZer你好：


因为floating端当期的付息是期初确定的，在付息日时会回归面值，所以其实就是算了一个未来付息的金额，再用目前市场上实际的利率进行折现。要记住1、浮动利率债券在每个付息日会回归面值；

2、每期付的利息是由期初利率确定的

这两个点就可以理解浮动端value的计算了。

而固定端就是常规债券的折现。

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

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